UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code:
(630) 765-8000
Date of fiscal year end:
July 31
Date of reporting period:
July 31, 2026
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
The information presented in this Form N-CSR relates solely to the fund(s) for which a report is included in Item 1 below, each a series of the Registrant.
Item 1. Reports to Shareholders.
(a) Following is a copy of the annual reports transmitted to shareholders pursuant to Rule 30e-1 under the Act.
TSR - First Trust Fund Logo
First Trust Municipal High Income ETF
FMHI | Nasdaq, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust Municipal High Income ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FMHI. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust Municipal High Income ETF $60 0.58%
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 7.59% for the 12-months ended July 31, 2026. The Fund outperformed its blended benchmark, which consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years), and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years). The blended benchmark returned 4.69% for the same Period.
The following key factors impacted the Fund’s performance relative to the blended benchmark during the Period:
  • Yield Curve Positioning/Duration: During the Period, the Fund’s allocation to bonds with stated final maturities of 18+ years, 14–18 years, and 8–10 years were the primary drivers of outperformance relative to the blended benchmark. In contrast, the Fund’s allocation and selection of bonds with stated final maturities of 10-12 years detracted from relative performance.  Regarding effective duration, the Fund’s allocation and selection of bonds with effective durations of 10+ years and 5–10 years were positive contributors to performance relative to the blended benchmark, while its allocation and selection of bonds with effective durations of 0–3 years detracted from relative performance.
  • Interest Rate Hedge: During the reporting period, the use of U.S. Treasury futures to hedge interest rate risk was a modest detractor from performance.
  • Credit Rating: The Fund’s selection and allocation of non-rated municipal bonds was the primary positive contributor to relative performance during the Period. Secondary positive contributors included the Fund’s allocation and selection of BBB-rated, A-rated, and AA-rated municipal securities. In contrast, the Fund’s allocation and selection of B-rated bonds and allocation to cash were modest detractors from performance.
  • Sector/Industry: During the Period, the Fund’s selection and allocation to special tax, industrial development bond, healthcare, and education securities were positive contributors to performance relative to the blended benchmark. No sector was a material negative contributor to performance during the Period.
  • U.S. Treasury Rate Trends: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 36 basis points (bps) and 37 bps, respectively, to 4.73% and 5.27%.
  • New Issue Supply: During the Period, primary market supply increased approximately 2.4% to $581.2 billion, compared with $567.5 billion a year ago (Securities Industry and Financial Markets Association, Bloomberg, Barclays Research).
  • Municipal Credit Yields: For the Period, according to Municipal Market Data AAA yield curve data, 10-year municipal yields increased by 5 bps, while 30-year municipal yields decreased by 16 bps, to 3.37% and 4.51%, respectively.
  • Municipal Credit Spreads: During the Period, credit spreads tightened for A-rated, BBB-rated, and high-yield municipal bonds by approximately 7 bps, 13 bps, and 24 bps, respectively.
  • Industry Fund Flows: For the Period, according to data collected by the Investment Company Institute and J.P. Morgan, weekly reporting fund inflows totaled approximately $53 billion. The municipal asset class is highly driven by retail demand. This demand for bonds causes credit spreads to tighten and yields to decline. Both are additive to performance.
FUND PERFORMANCE (November 1, 2017 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(11/1/17)
First Trust Municipal High Income ETF 7.59% 0.35% 3.07%
Bloomberg Municipal Bond Index 5.27% 0.51% 2.15%
Blended Benchmark(1) 4.69% 1.28% 3.06%
(1)
The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years) which is comprised of bonds with a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond High Yield Index; and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years), which is comprised of revenue bonds that have a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond Index.
Visit  www.ftportfolios.com/etf/FMHI for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $994,107,054
Total number of portfolio holdings 732
Total advisory fee paid $5,079,873
Portfolio turnover rate 18%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Sector Allocation
Special Assessment 17.8%
Continuing Care Retirement Communities 13.6%
Industrial Development Bond 8.5%
Education 8.0%
Hospital 7.4%
Government Obligation Bond - Limited Tax 5.7%
Airport 5.5%
Dedicated Tax 3.9%
Gas 3.3%
All Other 26.3%
Credit Quality (1)
Graphical Representation - Allocation 2 Chart
(1) The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FMHI or upon request at 1-800-621-1675 or info@ftportfolios.com.
Effective February 1, 2026, the Fund’s annual unitary management fee was reduced from 0.70% to 0.49% of the Fund’s average daily net assets. Additionally, the Fund is no longer eligible for any breakpoint discounts described in the Fund’s prospectus or statement of additional information.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FMHI to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust Municipal High Income ETF (FMHI)
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First Trust Horizon
Managed Volatility Domestic ETF
HUSV | NYSE Arca, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust Horizon Managed Volatility Domestic ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/HUSV. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust Horizon Managed Volatility Domestic ETF $73 0.71%(1)
​(1)
Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.70%.
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 5.06% for the 12 months ended July 31, 2026. The Fund underperformed its benchmark, the S&P 500® Index, which returned 19.56% for the same Period.
The underperformance over the Period was primarily driven by the defensive objective of the strategy capturing less of the return of the benchmark in a period of large gains for the benchmark. Underweights to more volatile sectors like Information Technology and Communication Services detracted from benchmark relative performance, while overweights to the Utilities and Real Estate sectors had a positive excess contribution to return.
Additionally, over the Period, a concentrated subset of Information Technology stocks within the benchmark primarily drove returns. The Fund’s systematic strategy avoided holding these companies due to their higher volatility and the inherent risks associated with them. This resulted in underweight allocations to some of the industries experiencing the most gains such as the Semiconductors & Semiconductor Equipment. Given the market environment, the Fund performed in-line with expectations, realizing lower drawdowns and lower volatility than the benchmark over the period.
FUND PERFORMANCE (August 24, 2016 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(8/24/16)
First Trust Horizon Managed Volatility Domestic ETF 5.06% 5.96% 9.06%
S&P 500® Index 19.56% 12.86% 15.15%
Visit  www.ftportfolios.com/etf/HUSV for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $84,086,007
Total number of portfolio holdings 102
Total advisory fee paid $583,835
Portfolio turnover rate 56%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Top Ten Holdings
Cisco Systems, Inc. 3.4%
Gen Digital, Inc. 3.0%
VeriSign, Inc. 2.9%
Apple, Inc. 2.8%
Microsoft Corp. 2.8%
Roper Technologies, Inc. 2.6%
Teledyne Technologies, Inc. 2.5%
Motorola Solutions, Inc. 2.2%
Coca-Cola (The) Co. 2.2%
Realty Income Corp. 2.1%
Sector Allocation
Graphical Representation - Allocation 2 Chart
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/HUSV to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
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First Trust Horizon Managed
Volatility Developed International ETF
HDMV | NYSE Arca, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust Horizon Managed Volatility Developed International ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/HDMV. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust Horizon Managed Volatility Developed International ETF $88 0.81%(1)
​(1)
Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 17.94% for the 12 months ended July 31, 2026. The Fund underperformed its benchmark, the MSCI EAFE Index, which returned 24.33% for the same Period.
The underperformance over the Period was primarily driven by the defensive objective of the strategy capturing less of the return of the benchmark in a period of large gains for the benchmark. Selection of lower volatility securities detracted the most in Japan and Singapore. Selection of lower volatility securities contributed the most in Hong Kong and Sweden. Given the market environment, the Fund performed in-line with expectations, realizing lower drawdowns and lower volatility than the benchmark over the Period.
FUND PERFORMANCE (August 24, 2016 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(8/24/16)
First Trust Horizon Managed Volatility Developed International ETF 17.94% 7.57% 5.94%
MSCI EAFE Index 24.33% 9.31% 9.24%
Visit  www.ftportfolios.com/etf/HDMV for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $17,488,277
Total number of portfolio holdings 151
Total advisory fee paid $156,752
Portfolio turnover rate 57%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Top Ten Holdings
CLP Holdings Ltd. 2.0%
CapitaLand Ascendas REIT 1.9%
Telstra Group Ltd. 1.9%
CapitaLand Integrated Commercial Trust 1.8%
Hong Kong & China Gas Co., Ltd. 1.8%
Oversea-Chinese Banking Corp., Ltd. 1.4%
United Overseas Bank Ltd. 1.4%
Klepierre S.A. 1.4%
DBS Group Holdings Ltd. 1.3%
SoftBank Corp. 1.3%
Sector Allocation
Graphical Representation - Allocation 2 Chart
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/HDMV or upon request at 1-800-621-1675 or info@ftportfolios.com.
On September 8, 2026, the Board of Trustees of the Trust (the “Board”) voted to terminate and liquidate HDMV pursuant to a Plan of Liquidation and Termination. The Board determined that the termination and liquidation of HDMV was in the best interests of HDMV. The Fund will liquidate on or around January 15, 2027.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/HDMV to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
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First Trust Horizon
Managed Volatility Small/Mid ETF
HSMV | NYSE Arca, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust Horizon Managed Volatility Small/Mid ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/HSMV. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust Horizon Managed Volatility Small/Mid ETF $86 0.81%(1)
​(1)
Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 12.80% for the 12 months ended July 31, 2026. The Fund underperformed its benchmark, the S&P 1000® Index, which returned 24.91% for the same Period.
The underperformance over the Period was primarily driven by the defensive objective of the strategy capturing less of the return of the benchmark in a period of large gains for the benchmark. Small and mid-sized stocks in the benchmark generally led larger cap stocks over the same Period, as these companies have exhibited characteristics more sensitive to an improving macro-economic environment. Underweights to more volatile sectors such as Information Technology and Health Care were large benchmark relative detractors, while overweights to Utilities and Real Estate were accretive. Given the market environment, the Fund performed in-line with expectations, realizing lower drawdowns and lower volatility than the benchmark over the Period.
FUND PERFORMANCE (April 6, 2020 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(4/6/20)
First Trust Horizon Managed Volatility Small/Mid ETF 12.80% 4.95% 11.77%
S&P 1000® Index 24.91% 8.21% 18.21%
Russell 3000® Index 19.60% 11.82% 19.30%
Visit  www.ftportfolios.com/etf/HSMV for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $35,208,002
Total number of portfolio holdings 151
Total advisory fee paid $235,393
Portfolio turnover rate 40%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Top Ten Holdings
Phillips Edison & Co., Inc. 2.2%
OGE Energy Corp. 2.0%
Ingredion, Inc. 1.6%
NNN REIT, Inc. 1.5%
Ellington Financial, Inc. 1.5%
IDACORP, Inc. 1.5%
Agree Realty Corp. 1.4%
Four Corners Property Trust, Inc. 1.4%
Starwood Property Trust, Inc. 1.4%
Hanover Insurance Group (The), Inc. 1.2%
Sector Allocation
Graphical Representation - Allocation 2 Chart
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/HSMV or upon request at 1-800-621-1675 or info@ftportfolios.com.
On September 8, 2026, the Board of Trustees of the Trust (the “Board”) voted to terminate and liquidate HSMV pursuant to a Plan of Liquidation and Termination. The Board determined that the termination and liquidation of HSMV was in the best interests of HSMV. The Fund will liquidate on or around January 15, 2027.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/HSMV to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
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First Trust Equity Market Neutral ETF
NTRL | NYSE Arca, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust Equity Market Neutral ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/NTRL. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment(1) Costs paid as a percentage
of a $10,000 investment(1)
First Trust Equity Market Neutral ETF $136(2) 1.31%(2)
​(1)
Includes dividend expense on investments sold short.
​(2)
Excludes any Acquired Fund Fees and Expenses of the underlying investment companies in which the Fund invests.
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 7.90% for the 12 months ended July 31, 2026 (the “Fiscal Period”). The Fund outperformed its benchmark, the ICE BofA 3-Month U.S. Treasury Bill Index, which returned 3.82% for the same Fiscal Period.
As of the close of business on June 23, 2026, the Fund’s name changed from the First Trust Merger Arbitrage ETF to the First Trust Equity Market Neutral ETF and changed its investment strategies and portfolio management team. The First Trust Alternatives Team of First Trust Advisors L.P., the investment advisor to the Fund, assumed portfolio management responsibilities for the Fund, replacing the previous sub-advisor. The Fund no longer pursues a merger arbitrage strategy, instead it seeks an equity market neutral approach where the overall performance of the Fund is driven primarily by the net performance of long and short positions, independent of directional movements in the market. From the close of business on June 23, 2026, through July 31, 2026 (the “Post-Change Period”), the Fund returned 3.50%. During the same Post-Change Period, the Fund’s benchmark returned 0.40%, resulting in Fund outperformance of 3.10 percentage points.
The Fund’s outperformance during the Post-Change Period was primarily attributable to the Fund’s long equity positions outperforming its short equity positions, as well as incremental return from its cash portfolio.
The overall economic backdrop during the Fiscal Period from August 1, 2025, through July 31, 2026, was one of economic growth and strong corporate earnings. During the Fiscal Period, broad-based economic indicators highlighting these trends included:
  • Average annualized GDP growth over the prior four calendar quarters (Q3 2025–Q2 2026) was 2.1%.
  • Basic earnings per share for the S&P 500® Index rose from $218.35 as of July 31, 2025 to $262.51 as of July 31, 2026, an increase of 20.2% over the Fiscal Period.

U.S. equities had strong returns during the Fiscal Period, with two pullbacks (the first in November 2025 and the second in March 2026) unable to derail a solid overall 12 months. For the Fiscal Period, the S&P 500® Index gained 19.56% and the technology-heavy Nasdaq 100®-Index was up 22.58%. Smaller-capitalization stocks performed even better than the larger indexes, posting a return of 34.18% as measured by the Russell 2000® Index. The growth in corporate earnings noted earlier played a large part in boosting equity returns, as did a resilient belief that artificial intelligence will enhance productivity.
The Fund’s new investment strategy, implemented as of the close of business on June 23, 2026, benefitted from the generally positive economic backdrop for U.S. equities, as the S&P 500® Index rose by 1.77% during the Post-Change Period. The Fund’s long stock portfolio was up 4.24% on a total return, fully invested basis, while the short stock positions were up 2.84% on the same basis. The short positions detracted from the Fund’s total return because the Fund was short those positions, which rose in value.  The positive spread of 1.40% between the two portfolios contributed to the Fund’s overall total return.
During the Post-Change Period, the Fund’s economic exposure to its long positions was targeted at 195% of total Fund assets, while its economic exposure to the short positions was targeted at 175% of total Fund assets. The additional economic exposure above 100% added 4.02% to the Fund’s total return from its long portfolio and detracted -2.13% from total return from its short portfolio. Overall, including the impact of the additional exposure above 100%, the spread between the long and short portfolios was 3.08%. The Fund also benefited from interest income and trade timing, while financing charges related to the total return swaps detracted from performance.
As of July 31, 2026, the Fund had 232 long positions and 251 short positions. Gross equity exposure for the Fund was 356% of the Fund’s net asset value with 192% being long stock positions and 168% in short stock positions.
FUND PERFORMANCE (February 4, 2020 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(2/4/20)
First Trust Equity Market Neutral ETF 7.90% 3.80% 2.55%
ICE BofA 3-month U.S. Treasury Bill Index 3.82% 3.59% 2.84%
S&P 500® Index 19.56% 12.86% 15.20%
As set forth in its prospectus dated June 22, 2026 and effective June 24, 2026, the Fund changed its name and principal investment strategies. Therefore, any Fund performance and historical returns shown above that incorporate Fund performance prior to June 24, 2026 are not necessarily indicative of the performance that the Fund, based on its current principal investment strategies, would have generated.
Visit www.ftportfolios.com/etf/NTRL for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $16,257,576
Total number of portfolio holdings 17
Total advisory fee paid $384,617
Portfolio turnover rate 377%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
Fund Allocation
Rights 0.0%
Money Market Funds 83.6%
Net Other Assets and Liabilities(1) 16.4%
Total 100.0%
Any amount shown as 0.0% represents less than 0.1%.
(1) Includes unrealized appreciation (depreciation) on swap contracts.
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/NTRL or upon request at 1-800-621-1675 or info@ftportfolios.com.
In its prospectus dated June 22, 2026 and effective June 24, 2026, the Fund’s name changed from “First Trust Merger Arbitrage ETF” to “First Trust Equity Market Neutral ETF,” and the Fund’s ticker changed from “MARB” to “NTRL.” In connection with the change to the Fund’s name, the Fund’s principal investment strategies and principal risks were revised to reflect the Fund’s new strategy to seek an equity market neutral approach where the overall performance of the Fund is driven primarily by the net performance of long and short positions, independent of directional movements in the market. Additionally, the Fund’s annual unitary management fee was reduced to 0.95% of the Fund’s average daily net assets, the Fund’s portfolio management team changed to members of the First Trust Alternatives Investment Team, and the Fund no longer has a sub-advisor.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/NTRL to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust Equity Market Neutral ETF (NTRL)
TSR - First Trust Fund Logo
First Trust California Municipal
High Income ETF
FCAL | Nasdaq, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust California Municipal High Income ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FCAL. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust California Municipal High Income ETF $58 0.56%
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 5.57% for the 12 months ended July 31, 2026. The Fund outperformed its benchmark, the Bloomberg 10 Year California Exempt Index, which returned 3.62% for the same Period.
The following key Fund factors impacted the Fund’s performance relative to the benchmark during the Period:
  • Yield Curve Positioning/Duration: During the Period, the Fund’s allocation to bonds with a stated final maturity of 18+ years and 12-18 years were the primary drivers of the Fund’s outperformance relative to the benchmark. In contrast, the Fund’s selection of bonds with a maturity date of 0-2 years and allocation to cash were detrimental to the Fund’s performance over the Period. Regarding effective duration, the Fund’s allocation and selection of bonds with an effective duration of 10+ years and selection of bonds with an effective duration of 7-10 years and 5-7 years were the predominant reasons for the Fund’s outperformance relative to the benchmark. Contrawise, the Fund’s allocation and selection of bonds with an effective duration of 0-1 years and allocation to cash were detrimental to the Fund’s performance over the Period.
  • Interest Rate Hedge: The Fund’s use of U.S. Treasury futures to hedge interest rate risk was a slightly positive contributor to the Fund’s performance.
  • Credit Rating: The Fund’s selection of AA rated, A rated and BBB rated bonds were positive contributors to the Fund’s outperformance relative to the benchmark over the Period. A secondary positive contributor to the Fund’s outperformance during the Period was the Fund’s allocation to non-rated bonds. No credit rating category was a negative contributor to the Fund’s performance.
  • Sector/Industry: During the Period, the Fund’s selection of special tax, health care, lease, local general obligation, and education sectors were positive contributors to the Fund’s performance relative to the benchmark. No sector was a material negative contributor to the Fund’s performance during the Period.
  • U.S. Treasury Rate Trends: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 36 basis points (“bps”) and 37 bps, respectively, to 4.73% and 5.27%, respectively.
  • New Issue Supply: During the Period, primary market supply increased approximately 2.4% to $581.2 billion compared with $567.5 billion a year ago (SIFMA, Bloomberg, Barclays Research).
  • Municipal Credit Yields: For the Period, according to Municipal Market Data AAA yield curve data, 10-year municipal yields increased 5 bps while 30-year municipal yields decreased by 16 bps to 3.37% and 4.51%, respectively.
  • Municipal Credit Spreads: During the Period, credits spreads tightened for A, BBB, and high yield municipals by approximately 7 bps, 13 bps, and 24 bps, respectively.
  • Industry Fund Flows: During the Period, according to data collected by the Investment Company Institute and JP Morgan, weekly reporting fund inflows totaled approximately $53 billion. The municipal asset class is highly driven by retail demand. This demand for bonds causes credit spreads to tighten and yields to decline. Both are additive to performance.
FUND PERFORMANCE (June 20, 2017 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(6/20/17)
First Trust California Municipal High Income ETF 5.57% 0.23% 2.42%
Bloomberg 10 Year California Exempt Index 3.62% 0.50% 1.99%
Bloomberg Municipal Bond Index 5.27% 0.51% 2.14%
Visit  www.ftportfolios.com/etf/FCAL for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund’s total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $218,691,665
Total number of portfolio holdings 278
Total advisory fee paid $1,130,105
Portfolio turnover rate 28%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Sector Allocation
Insured 13.3%
Special Assessment 13.1%
Government Obligation Bond - Unlimited Tax 9.6%
Certificates of Participation 7.7%
Airport 7.6%
Water & Sewer 6.3%
Gas 6.2%
Hospital 6.2%
Education 5.4%
All Other 24.6%
Credit Quality (1)
Graphical Representation - Allocation 2 Chart
(1) The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FCAL or upon request at 1-800-621-1675 or info@ftportfolios.com.
Effective February 1, 2026, the Fund’s annual unitary management fee was reduced from 0.65% to 0.49% of the Fund’s average daily net assets. Additionally, the Fund is no longer eligible for any breakpoint discounts described in the Fund’s prospectus or statement of additional information.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FCAL to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust California Municipal High Income ETF (FCAL)
TSR - First Trust Fund Logo
First Trust New York Municipal
High Income ETF
FMNY | NYSE Arca, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust New York Municipal High Income ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FMNY. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust New York Municipal High Income ETF $57 0.55%
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 5.85% for the 12 months ended July 31, 2026. The Fund underperformed its benchmark, the Bloomberg Municipal New York 12-17 Years Index, which returned 6.43% for the same Period.
The following key Fund factors impacted Fund performance relative to the benchmark during the Period:
  • Yield Curve Positioning/Duration: Relative to the benchmark, the allocation and selection to bonds with a stated maturity of 16-18 years, the allocation to bonds 6-10 years, the allocation and selection of bonds 0-2 years and the allocation to Cash were the primary factors contributing to the Fund’s underperformance. The allocation to bonds in 2-6 years and 10-12 years were secondary contributors to the Fund’s underperformance. Conversely, the Fund’s allocation to bonds in 18+ years and 12-14 years were the primary positive contributors to the Fund’s performance. Examining effective durations, the Fund’s allocation and selection to bonds with durations of 0-1 years and the allocation to Cash were the primary negative contributors to the Fund’s underperformance. The allocation to bonds in 1-3 years and the allocation and selection to bonds in 3-5 years were secondary contributors to the Fund’s underperformance. The selection of bonds in 7-10 years was the primary source of positive performance relative to the benchmark.
  • Interest Rate Hedge: During the reporting period the use of Treasury futures to hedge interest rate risk was a minor negative contributor to the Fund’s performance.
  • Credit Rating: The Fund’s selection of AA rated, and A rated bonds and the allocation to Cash were the primary contributors to the Fund’s underperformance relative to the benchmark. The Fund’s allocation and selection in AAA rated bonds was the primary positive contributor to the Fund’s performance relative to the benchmark.
  • Sector/Industry: During the Period, the selection in Housing and Industrial Development bonds, the allocation and selection in Local General Obligation bonds and the allocation to Cash, were the primary sources of the Fund’s underperformance. The allocation and selection in Other sector bonds was a secondary negative contributor. The allocation and selection of Special Tax and Healthcare bonds were the primary positive contributors to the Fund’s performance.
  • U.S. Treasury Rate Trends: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 36 basis points (“bps”) and 37 bps, respectively, to 4.73% and 5.27%, respectively.
  • New Issue Supply: During the Period, primary market supply increased approximately 2.4% to $581.2 billion compared with $567.5 billion a year ago (SIFMA, Bloomberg, Barclays Research).
  • Municipal Credit Yields: During the Period, according to Municipal Market Data AAA yield curve data, 10-year  municipal yields increased 5 bps while 30-year municipal yields decreased by 16 bps to 3.37% and 4.51%, respectively.
  • Municipal Credit Spreads: During the Period, credits spreads tightened for A, BBB, and high yield municipals by approximately 7 bps, 13 bps, and 24 bps, respectively.
  • Industry Fund Flows: During the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $53 billion. The municipal asset class is highly driven by retail demand. This demand for bonds causes credit spreads to tighten and yields to decline. Both are additive to performance.
FUND PERFORMANCE (May 12, 2021 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(5/12/21)
First Trust New York Municipal High Income ETF 5.85% 0.13% 0.48%
Bloomberg Municipal New York 12-17 Years Index 6.43% 0.60% 0.91%
Bloomberg Municipal Bond Index 5.27% 0.51% 0.75%
Visit  www.ftportfolios.com/etf/FMNY for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund’s total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $38,088,329
Total number of portfolio holdings 110
Total advisory fee paid $163,705
Portfolio turnover rate 24%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Sector Allocation
Dedicated Tax 12.8%
Higher Education 12.0%
Insured 8.4%
Hospital 7.8%
Industrial Development Bond 6.8%
Water & Sewer 5.5%
Utility 5.4%
Government Obligation Bond - Unlimited Tax 5.4%
Certificates of Participation 5.1%
All Other 30.8%
Credit Quality (1)
Graphical Representation - Allocation 2 Chart
(1) The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FMNY or upon request at 1-800-621-1675 or info@ftportfolios.com.
Effective February 1, 2026, the Fund’s annual unitary management fee was reduced from 0.65% to 0.49% of the Fund’s average daily net assets. Additionally, the Fund is no longer eligible for any breakpoint discounts described in the Fund’s prospectus or statement of additional information.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FMNY to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust New York Municipal High Income ETF (FMNY)
TSR - First Trust Fund Logo
First Trust Short Duration
Managed Municipal ETF
FSMB | NYSE Arca, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust Short Duration Managed Municipal ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FSMB. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust Short Duration Managed Municipal ETF $44 0.43%
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 2.78% for the 12 months ended July 31, 2026. The Fund outperformed its benchmark, the Bloomberg Municipal Short (1-5) Year Index, which returned 2.16% for the same Period.
The following key factors impacted the Fund’s performance relative to the benchmark during the Period:
  • Credit Rating: The Fund’s underweight selection of AA-rated bonds was the primary positive contributor to performance relative to the benchmark, while its overweight allocation and selection of A-rated bonds was a secondary contributor. The Fund’s overweight allocation to BB-rated bonds was the primary detractor from relative performance, followed by its underweight allocation to AAA-rated bonds.
  • Years to Maturity: The Fund’s selection of bonds in the 4–6 year maturity range was the primary source of outperformance relative to the benchmark. The Fund’s allocation to bonds in the 6–8 year maturity range and selection of bonds in the 2–4 year maturity range were secondary sources of outperformance. There were no material sources of underperformance attributable to final maturity.
  • Effective Duration: The Fund’s selection of bonds with an effective duration of 1–3 years, overweight allocation to bonds with an effective duration of 5–7 years and selection of bonds with an effective duration of 3-5 years were the primary sources of outperformance relative to the benchmark. There were no material sources of underperformance attributable to effective duration.
  • Sector/Industry: The Fund’s overweight allocation to industrial development bonds (“IDBs”) was the primary contributor to outperformance relative to the benchmark. The Fund’s overweight selection of healthcare bonds was a secondary positive contributor. There were no material sources of underperformance attributable to sector exposure.
  • U.S. Treasury Rate Trends: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 36 basis points (“bps”) and 37 bps, respectively, to 4.73% and 5.27%.
  • New Issue Supply: During the Period, primary market supply increased approximately 2.4% to $581.2 billion, compared with $567.5 billion a year ago (Securities Industry and Financial Markets Association, Bloomberg, Barclays Research).
  • Municipal Credit Yields: For the Period, according to Municipal Market Data AAA yield curve data, 10-year municipal yields increased by 5 bps, while 30-year municipal yields decreased by 16 bps, to 3.37% and 4.51%, respectively.
  • Municipal Credit Spreads: During the Period, credit spreads tightened for A-rated, BBB-rated, and high-yield municipal bonds by approximately 7 bps, 13 bps, and 24 bps, respectively.
  • Industry Fund Flows: For the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $53 billion. The municipal asset class is highly driven by retail demand. The demand for bonds causes credit spreads to tighten and yields to decline. Both are additive to performance.

The Fund’s use of derivatives had a minimal impact on the Fund’s performance of approximately 1 basis point.
FUND PERFORMANCE (November 1, 2018 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(11/1/18)
First Trust Short Duration Managed Municipal ETF 2.78% 1.36% 2.15%
Bloomberg Municipal Short (1-5) Year Index 2.16% 1.40% 1.98%
Bloomberg Municipal Bond Index 5.27% 0.51% 2.50%
Visit  www.ftportfolios.com/etf/FSMB for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $621,604,971
Total number of portfolio holdings 553
Total advisory fee paid $2,280,029
Portfolio turnover rate 30%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Sector Allocation
Gas 13.3%
Industrial Development Bond 12.7%
Hospital 11.1%
Airport 10.7%
Utility 9.1%
Continuing Care Retirement Communities 8.3%
Housing 8.2%
Special Assessment 6.4%
Insured 3.1%
All Other 17.1%
Credit Quality (1)
Graphical Representation - Allocation 2 Chart
(1) The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FSMB or upon request at 1-800-621-1675 or info@ftportfolios.com.
Effective February 1, 2026, the Fund’s annual unitary management fee was reduced from 0.55% to 0.34% of the Fund’s average daily net assets. Additionally, the Fund is no longer eligible for any breakpoint discounts described in the Fund’s prospectus or statement of additional information.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FSMB to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust Short Duration Managed Municipal ETF (FSMB)
TSR - First Trust Fund Logo
First Trust Ultra Short Duration
Municipal ETF
FUMB | NYSE Arca, Inc.
ANNUAL SHAREHOLDER REPORT | July 31, 2026
This annual shareholder report contains important information about the First Trust Ultra Short Duration Municipal ETF (the “Fund”) for the year of August 1, 2025 to July 31, 2026 (the “Period”). You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FUMB. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
This report describes changes to the Fund that occurred during or after the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST YEAR?
(Based on a hypothetical $10,000 investment)
Fund Costs of a $10,000 investment Costs paid as a percentage
of a $10,000 investment
First Trust Ultra Short Duration Municipal ETF $36 0.36%
HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND’S PERFORMANCE?
The Fund returned 2.37% for the 12 months ended July 31, 2026. The Fund underperformed its benchmark, the Bloomberg Municipal Short-Term Index, which returned 2.67% for the same Period.
The following key factors impacted the Fund’s performance relative to its benchmark during the Period:
  • Credit Rating: The Fund’s underweight allocation and selection of AA-rated bonds was the primary positive contributor to performance relative to the benchmark. The Fund’s overweight selection of A-rated bonds was the primary detractor from relative performance. 
  • Years to Maturity: The Fund’s selection of bonds in the 0–2 year maturity range was the primary detractor from performance relative to the benchmark. The Fund’s allocation to bonds in the 2–4 year maturity range was a secondary source of relative underperformance.
  • Effective Duration: The Fund’s selection of bonds with an effective duration of 1–3 years was the primary detractor from performance relative to the benchmark. Bonds with an effective duration of 0–1 years were a secondary source of relative underperformance.
  • Sector/Industry: The Fund’s allocation to state general obligation (“GO”) bonds was the primary positive contributor to performance relative to the benchmark. The Fund’s selection of industrial development bonds (“IDBs”) was the primary detractor, while its selection of healthcare bonds was a secondary detractor from relative performance.
  • U.S. Treasury Rate Trends: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 36 basis points (“bps”) and 37 bps, respectively, to 4.73% and 5.27%.
  • New Issue Supply: During the Period, primary market supply increased approximately 2.4% to $581.2 billion, compared with $567.5 billion a year ago (Securities Industry and Financial Markets Association, Bloomberg, Barclays Research).
  • Municipal Credit Yields: For the Period, according to Municipal Market Data AAA yield curve data, 10-year municipal yields increased by 5 bps, while 30-year municipal yields decreased by 16 bps, to 3.37% and 4.51%, respectively.
  • Municipal Credit Spreads: During the Period, credit spreads tightened for A-rated, BBB-rated, and high-yield municipal bonds by approximately 7 bps, 13 bps, and 24 bps, respectively.
  • Industry Fund Flows: For the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $53 billion. The municipal asset class is highly driven by retail demand. The demand for bonds causes credit spreads to tighten and yields to decline. Both are additive to performance.

FUMB did not employ derivatives during the Period.
FUND PERFORMANCE (November 1, 2018 to July 31, 2026)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund’s performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.
Investment Performance of $10,000
Fund Performance - Growth of 10K
Average Annual Total Returns (as of July 31, 2026) 1 Year 5 Year Since
Inception
(11/1/18)
First Trust Ultra Short Duration Municipal ETF 2.37% 2.02% 1.83%
Bloomberg Municipal Short-Term Index 2.67% 2.40% 1.98%
Bloomberg Municipal Bond Index 5.27% 0.51% 2.50%
Visit  www.ftportfolios.com/etf/FUMB for more recent performance information.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
KEY FUND STATISTICS (As of July 31, 2026)
Fund net assets $246,416,028
Total number of portfolio holdings 249
Total advisory fee paid $816,106
Portfolio turnover rate 124%
WHAT DID THE FUND INVEST IN? (As of July 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.
Sector Allocation
Government Obligation Bond - Unlimited Tax 11.3%
Hospital 10.4%
Local Housing 9.5%
Industrial Development Bond 9.2%
Airport 8.9%
Government Obligation Bond - Limited Tax 8.7%
Insured 7.6%
Utility 6.4%
Dedicated Tax 5.1%
All Other 22.9%
Credit Quality (1)
Graphical Representation - Allocation 2 Chart
(1) The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. “NR” indicates no rating. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund’s prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FUMB or upon request at 1-800-621-1675 or info@ftportfolios.com.
Effective February 1, 2026, the Fund’s annual unitary management fee was reduced from 0.45% to 0.29% of the Fund’s average daily net assets. Additionally, the Fund is no longer eligible for any breakpoint discounts described in the Fund’s prospectus or statement of additional information.
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FUMB to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.
First Trust Ultra Short Duration Municipal ETF (FUMB)
 
 

 

(b) Not applicable to the Registrant.

Item 2. Code of Ethics.

(a) The First Trust Exchange-Traded Fund III (“Registrant”), as of the end of the period covered by this report, has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.
(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, and that relates to any element of the code of ethics description.
(d) The Registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.
(e) Not applicable.
(f) A copy of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that Thomas J. Driscoll, Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $296,000 for the fiscal year ended 2025 and $286,000 for the fiscal year ended 2026.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

Audit-Related Fees (Investment Advisor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

Audit-Related Fees (Distributor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

(c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for tax return review and debt instrument tax analysis and reporting were $104,140 for the fiscal year ended 2025 and $114,257 for the fiscal year ended 2026.

Tax Fees (Investment Advisor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the Registrant’s advisor were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

Tax Fees (Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the Registrant’s distributor were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.

(d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal accountant to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

All Other Fees (Investment Advisor) -- The aggregate fees billed for products and services provided by the principal accountant to the Registrant’s investment advisor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

All Other Fees (Distributor) -- The aggregate fees billed for products and services provided by the principal accountant to the Registrant’s distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended 2025 and $0 for the fiscal year ended 2026.

(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.

Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the Registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.

The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the Registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the Registrant, if the engagement relates directly to the operations and financial reporting of the Registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the Registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the Registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the Registrant and the Registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:

Registrant:   Advisor and Distributor:
(b) 0%    (b) 0%
(c) 0%    (c) 0%
(d) 0%    (d) 0%

 

(f) The percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the Registrant for the fiscal year ended 2025 were $104,140 for the Registrant, $28,080 for the Registrant’s investment advisor and $32,400 for the Registrant’s distributor; and for the fiscal year ended 2026 were $114,257 for the Registrant, $13,020 for the Registrant’s investment advisor and $14,940 for the Registrant’s distributor.
(h) The Registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the Registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(i) Not applicable to the Registrant.

(j) Not applicable to the Registrant.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 consisting of all the independent directors of the Registrant. The audit committee of the Registrant is comprised of: Thomas J. Driscoll, Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith, Niel B. Nielson and Bronwyn Wright.
(b) Not applicable to the Registrant.

Item 6. Investments.

(a) The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.
(b) Not applicable to the Registrant.

Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.

(a) Following is a copy of the annual financial statement(s) required, and for the periods specified, by Regulation S-X.

 
 
 
Annual Financial
Statements and
Other Information
For the Year Ended
July 31, 2026
 
First Trust Exchange-Traded Fund III
 
First Trust Municipal High Income ETF (FMHI)
Table of Contents 
First Trust Municipal High Income ETF (FMHI)
Annual Financial Statements and Other Information
July 31, 2026 
Performance and Risk Disclosure
There is no assurance that First Trust Municipal High Income ETF (the “Fund”) will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
First Trust Advisors L.P., the Fund’s advisor, may also periodically provide additional information on Fund performance on the Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data that provides insight into the Fund’s performance and investment approach.
The material risks of investing in the Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments
July 31, 2026
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS — 98.8%
Alabama — 3.2%
$2,000,000
Baldwin Cnty AL Indl Dev Auth Sol Wst Disp Rev Var Novelis
Corp Proj, Ser A, AMT (Mandatory put 03/01/33) (a)
4.30%
03/01/56
$1,984,116
2,000,000
Black Belt Energy Gas Dist AL Gas Proj Rev Ref, Ser H-1
5.00%
01/01/34
2,071,354
530,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory
put 06/01/29)
5.25%
02/01/53
552,730
3,000,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F
5.00%
06/01/36
3,064,893
1,340,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F (Mandatory put
12/01/28)
5.50%
11/01/53
1,393,278
1,000,000
Black Belt Energy Gas Dist AL Gas Sply Rev, Ser B (Mandatory
put 12/01/30)
5.25%
12/01/53
1,063,721
1,500,000
Homewood AL Eductnl Bldg Auth Rev Stdt Hsg & Parking
Proj, Ser C
5.50%
10/01/49
1,525,253
5,000,000
Mobile AL Indl Dev Brd Poll Control Rev AL Pwr Barry Plt,
1st Ser (b)
3.18%
06/01/34
5,000,000
6,000,000
Mobile Cnty AL Indl Dev Auth Sol Wst Disp Rev AM/NS
Calvert LLC Proj, Ser B, AMT
4.75%
12/01/54
5,615,197
2,425,000
SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put
10/01/28)
4.00%
11/01/51
2,447,691
3,000,000
SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser A
5.00%
11/01/35
3,058,847
1,700,000
Univ of AL at Birmingham Gen Rev Brd of Trustees, Ser B
3.00%
10/01/41
1,413,268
2,500,000
Walker Cnty AL Econ & Indl Dev Auth Sol Wst Disp Rev Var AL
Pwr Co Plant Gorgas Proj, AMT (b)
3.15%
08/01/63
2,500,000
 
31,690,348
American Samoa — 0.1%
800,000
AS Econ Dev Auth Gen Rev, Ser B (a)
5.25%
09/01/45
792,535
Arizona — 3.7%
1,175,000
AZ Indl Dev Auth Hosp Rev Phoenix Children’s Hosp, Ser A
3.00%
02/01/45
927,983
1,075,000
AZ St Hlth Facs Auth Var Banner Hlth Rmkt, Ser C (b)
3.05%
01/01/46
1,075,000
1,790,000
AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a)
5.00%
07/01/39
1,790,829
610,000
AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a)
5.00%
07/01/49
562,666
1,020,000
AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, Ser
A (a)
5.50%
07/01/56
972,099
750,000
AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, Ser
B (a)
5.00%
07/01/29
752,598
1,325,000
AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red
Rock Cmps Proj, Ser A
5.00%
07/15/39
1,292,130
400,000
AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a)
5.00%
12/15/39
396,183
700,000
AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a)
5.00%
12/15/49
636,804
1,250,000
AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada
& St Rose Cmps, Ser A (a)
5.75%
07/15/38
1,250,519
600,000
AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a)
5.00%
07/01/37
599,915
1,670,000
AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a)
5.13%
07/01/37
1,670,018
2,240,000
AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a)
5.25%
07/01/47
2,167,496
270,000
AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser D (a)
4.00%
07/01/27
269,451
365,000
AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV
Proj, Ser A (a)
4.00%
07/15/33
352,904
385,000
AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV
Proj, Ser A (a)
4.00%
07/15/34
367,659
950,000
AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV
Proj, Ser A (a)
4.00%
07/15/41
809,173
See Notes to Financial Statements
Page 1
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Arizona (Continued)
$1,500,000
AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV
Proj, Ser A (a)
4.00%
07/15/51
$1,145,496
2,595,000
AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante &
Skye Canyon Cmps Proj, Ser A (a)
4.00%
12/15/41
2,216,845
1,000,000
AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante &
Skye Canyon Cmps Proj, Ser A (a)
4.00%
12/15/51
751,581
1,250,000
AZ St Indl Dev Auth Edu Rev Var Acads of Math &
Science Projs, Ser A (Mandatory put 07/01/35) (a)
4.88%
07/01/60
1,286,426
1,000,000
Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs
Proj Auth, Ser B (a)
5.00%
07/01/39
1,000,710
2,035,000
Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs
Proj Auth, Ser B (a)
5.00%
07/01/49
1,876,100
1,000,000
Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs
Paragon Mgmt Inc (a)
5.00%
07/01/47
925,145
4,000,000
Maricopa Cnty Indl Dev Auth Exempt Facs Rev Comml Metals Co
Proj, AMT (a)
4.00%
10/15/47
3,440,980
2,000,000
Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a)
5.00%
07/01/46
1,898,140
2,000,000
Phoenix AZ Indl Dev Auth Edu Rev Ref Fac Legacy Trad Schs
Projs (a)
5.00%
07/01/45
1,892,665
1,000,000
Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch
Ridge Proj, Ser A (a)
6.75%
11/15/42
1,070,699
1,000,000
Tempe AZ Indl Dev Auth Rev Friendship Vlg of Tempe Proj, Ser A
4.38%
12/01/36
1,001,737
1,000,000
Tempe AZ Indl Dev Auth Rev Friendship Vlg of Tempe Proj, Ser A
5.38%
12/01/46
1,026,941
1,000,000
Tempe AZ Indl Dev Auth Rev Friendship Vlg of Tempe Proj, Ser A
5.63%
12/01/55
1,022,423
 
36,449,315
Arkansas — 0.8%
4,000,000
AR Dev Fin Auth Envrnmntl Rev Sustainable Bond US Steel Corp
Proj, AMT
5.45%
09/01/52
4,058,596
1,000,000
AR Dev Fin Auth Envrnmntl Rev Sustainable Bond US Steel Corp
Proj, AMT
5.70%
05/01/53
1,026,809
2,000,000
AR St Dev Fin Auth Indl Dev Rev Sustainable Bond Hybar Steel
Proj, Ser A, AMT (a)
7.00%
07/01/48
2,194,342
1,000,000
AR St Dev Fin Auth Indl Dev Rev Var Hybar Steel Sustainable
Bond, Ser A, AMT (Mandatory put 07/01/36) (a)
4.88%
07/01/56
1,029,415
 
8,309,162
California — 2.1%
7,910,000
CA Cnty CA Tobacco Securitization Agy Tobacco Settle Cap
Apprec Stanislaus, Subser A
(c)
06/01/46
1,865,522
250,000
CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Sustainable
Bond, Ser A (a)
5.00%
11/15/51
224,637
250,000
CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (a)
5.25%
07/01/48
250,424
650,000
CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy
Proj (a)
5.00%
06/01/54
611,839
2,500,000
CA St Hlth Facs Fing Auth Rev El Camino Hosp
5.00%
02/01/42
2,514,229
1,050,000
CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy
Proj, Ser A (a)
5.00%
07/01/38
1,049,135
2,000,000
CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (a)
5.00%
11/01/46
1,942,497
775,000
CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (a)
5.38%
11/01/45
787,002
1,000,000
CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT
4.00%
07/15/29
1,005,658
1,300,000
CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B
5.75%
09/01/53
1,352,089
See Notes to Financial Statements
Page 2
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$1,000,000
CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds,
AMT (a)
5.00%
07/01/37
$1,000,108
550,000
CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr,
Ser A (a)
5.00%
12/01/33
561,691
2,000,000
CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr,
Ser A (a)
5.50%
12/01/58
2,012,102
2,000,000
CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a)
5.00%
11/01/41
1,917,463
1,500,000
CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link
Glendale Sustainable Bonds, Ser A-2 (a)
4.00%
07/01/56
1,124,889
300,000
Morongo Band of Mission Indians CA Rev Ref, Ser B (Pre-
refunded maturity 10/01/28) (a)
5.00%
10/01/42
314,875
450,000
Palm Desert CA Spl Tax Ref Univ Park
4.00%
09/01/41
405,670
1,615,000
San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital
Projs Ref, Ser A
5.25%
11/15/42
1,744,885
 
20,684,715
Colorado — 5.2%
3,250,000
Aerotropolis Regl Tranprtn Auth CO Spl Rev (a)
5.50%
12/01/44
3,307,796
1,000,000
Aerotropolis Regl Tranprtn Auth CO Spl Rev (a)
5.75%
12/01/54
1,004,962
1,110,000
Allison Vly Met Dist #2 CO Ref
4.70%
12/01/47
1,033,080
525,000
Brighton Crossing Met Dist #6 CO, Ser A
5.00%
12/01/35
530,503
1,125,000
Canyons Met Dist #5 CO Ref Subord, Ser B (d)
6.50%
12/15/54
1,105,350
1,167,000
CCP Met Dist No 3 CO Ref
5.00%
12/01/53
1,136,002
950,000
CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1
4.00%
08/01/39
902,643
1,275,000
CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty
Proj, Ser A
5.25%
05/15/30
1,290,430
670,000
CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A
4.00%
05/15/35
665,723
1,125,000
CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A
4.00%
05/15/41
1,048,842
500,000
CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A
4.00%
05/15/48
429,022
1,000,000
CO St Hlth Facs Auth Rev Ref, Ser A
5.25%
05/15/48
1,015,039
325,773
CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada
Proj, Ser A (d) (e)
5.25%
11/01/32
9,773
1,500,000
CO St Hlth Facs Auth Rev Var Intermountain Hlthcare,
Ser E (b)
2.95%
05/15/62
1,500,000
1,000,000
Denmore Met Dist #3 CO, Ser A (f)
5.50%
12/01/46
1,000,753
1,120,000
Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT
5.75%
11/15/40
1,220,411
1,100,000
Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT
5.75%
11/15/45
1,183,284
1,220,000
Denver City & Cnty CO Arpt Rev, Ser A, AMT
5.00%
11/15/41
1,265,584
500,000
Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B
6.00%
12/01/48
491,055
1,700,000
Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr
Bonds, Ser A (a)
5.00%
12/01/41
1,711,222
1,510,000
Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr
Bonds, Ser A (a)
5.00%
12/01/51
1,401,828
1,000,000
Grandview Reserve Met Dist #3 CO Sr Bonds, Ser A (d)
6.25%
12/01/52
924,880
1,750,000
Jefferson Ctr CO Met Dist #2 Spl Rev Ref, Ser A (a)
6.00%
12/01/56
1,746,347
500,000
Kinston Met Dist CO #5 Ref Sr, Ser A (a)
5.50%
12/01/45
510,886
1,000,000
Lanterns Met Dist #3 CO, Sub Ser A-1
7.25%
12/01/53
1,032,633
1,000,000
Meridian Ranch Met Dist 2018 Subdistrict CO
6.75%
12/01/52
1,021,244
905,000
Mountain Brook Met Dist CO
4.50%
12/01/41
781,949
1,145,000
Newlin Crossing Met Dist CO, Ser A (a)
5.38%
12/01/54
1,138,489
2,500,000
Palisade CO Met Dist #2 Ltd Tax Ref Convertible Sub, Ser B,
CABS, steps up to 5.88% on 12/15/26 (a) (g)
0.00%
12/15/54
2,459,419
See Notes to Financial Statements
Page 3
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Colorado (Continued)
$1,000,000
Peak Met Dist #1 CO, Ser A (a)
5.00%
12/01/41
$933,341
2,470,000
Pinon Pines Met Dist #3 CO Conv, CABS, steps up to 5.88% on
12/01/27 (g)
0.00%
12/01/54
2,311,936
975,000
Poudre Heights Vly Met Dist CO, Ser A (a)
5.50%
12/01/54
917,219
1,500,000
Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref,
Ser A (a)
5.00%
12/15/41
1,500,593
3,550,000
Red Barn Met Dist CO Ref, Ser A
5.50%
12/01/55
3,560,336
1,500,000
Smith Met Dist #3 CO, Ser A
6.00%
12/01/55
1,500,234
550,000
Sterling Ranch Cmnty Auth Brd CO Supported Rev Ref Sr, Ser A
6.13%
12/01/39
568,947
1,500,000
Sugar Creek Pub Impt Auth CO, Ser A (a)
6.00%
12/01/55
1,511,405
2,820,000
Sunset Parks Met Dist CO, Ser A (a)
5.13%
12/01/54
2,734,197
900,000
Thompson Crossing Met Dist #4 CO Ref
5.00%
12/01/39
902,717
1,200,000
Vlg Met Dist CO, Ser A
5.75%
12/01/55
1,209,930
700,000
W Meadow Met Dist CO Ref Sr Bonds, Ser A (a)
6.00%
12/01/38
722,460
 
51,242,464
Connecticut — 1.2%
1,000,000
CT St Hlth & Eductnl Facs Auth Rev Fairview Issue, Ser A
6.25%
12/15/53
1,008,802
2,000,000
CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare Corp, Ser A
5.00%
07/01/46
2,061,747
2,200,000
CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare Energy
Proj, Ser A
5.25%
08/01/51
2,277,035
800,000
CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A
4.00%
07/01/37
803,008
2,500,000
CT St Hlth & Eductnl Facs Auth Rev Sustainable Bonds Goodwin
Univ Obligated Grp, Ser A1
5.00%
07/01/44
2,404,346
1,000,000
Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A
6.38%
10/01/45
1,054,579
2,200,000
Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A
6.50%
10/01/55
2,273,702
 
11,883,219
Delaware — 0.4%
780,000
Bridgeville DE Spl Oblig Heritage Shores Spl Dev Dist (a)
5.25%
07/01/44
781,830
3,140,000
DE St Hlth Facs Auth Rev Beebe Med Ctr, BAM
5.00%
06/01/48
3,141,877
115,000
Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a)
5.00%
07/01/28
116,888
 
4,040,595
District of Columbia — 0.5%
1,470,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/42
1,521,938
1,450,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.25%
10/01/43
1,516,239
2,000,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.50%
10/01/45
2,159,876
 
5,198,053
Florida — 15.3%
750,000
Acacia Fields CDD FL Spl Assmnt 2026 Proj
5.70%
06/15/56
733,859
705,000
Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the
Univ of FL Inc Proj
4.00%
10/01/40
658,650
100,000
Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple
Ridge Phase 4 Proj (a)
4.30%
05/01/42
93,859
1,655,000
Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple
Ridge Phase 4 Proj (a)
4.45%
05/01/52
1,440,575
2,380,000
Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 4
Master Impt Proj (a)
5.25%
05/01/43
2,412,093
600,000
Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj,
Ser 2021
4.00%
05/01/52
479,220
290,000
Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj,
Ser 2022
5.00%
05/01/42
291,384
See Notes to Financial Statements
Page 4
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Florida (Continued)
$3,000,000
Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj,
Ser 2022
5.00%
05/01/53
$2,816,751
1,000,000
Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One
3.63%
05/01/41
837,858
500,000
Berry Bay II CDD FL Spl Assmnt Proj, Ser 2024
5.20%
05/01/44
489,934
2,000,000
Bexley CDD FL Spl Assmnt Rev
4.88%
05/01/47
1,928,509
1,000,000
Braddock Lakes CDD FL Capital Impt Rev
5.55%
05/01/45
998,491
1,710,000
Bridgewater N Cmnty Dev Dist FL Capital Impt Rev
4.00%
05/01/42
1,482,443
1,745,000
Brightshore CDD FL Capital Impt Rev
5.30%
05/01/46
1,693,739
500,000
Buckhead Trails II CDD FL Spl Assmnt Proj, Ser 2026
5.50%
05/01/46
500,106
1,985,000
Capital Projs Fin Auth FL Eductnl Facs Rev Ref Navigator Acdmy
of Leadership Obligated Grp Proj (a)
5.00%
06/15/44
1,904,384
1,700,000
Capital Projs Fin Auth FL Eductnl Facs Rev Ref Navigator Acdmy
of Leadership Obligated Grp Proj (a)
5.00%
06/15/54
1,532,826
525,000
Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc
Proj, Ser A (a)
4.00%
07/01/51
406,918
1,070,000
Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory
Sch Inc Proj, Ser A
5.00%
08/01/40
1,051,535
2,750,000
Capital Trust Auth FL Eductnl Facs Rev FL Institute of Technology
Proj, Ser A (a)
5.00%
07/01/45
2,683,211
1,000,000
Capital Trust Auth FL Eductnl Facs Rev FL Institute of Technology
Proj, Ser A (a)
5.25%
07/01/50
970,236
1,500,000
Capital Trust Auth FL Eductnl Facs Rev The Classical Acdmy of
Sarasota Proj (a)
6.13%
07/01/55
1,484,732
1,000,000
Celebration Pointe Cmnty Dev Dist No 1 FL Spl Assmnt
Rev (d) (e)
4.00%
05/01/53
800,000
1,000,000
Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country
Utils Proj (a)
5.00%
10/01/34
1,007,507
4,750,000
Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country
Utils Proj, Ser A, AMT (a)
4.00%
10/01/51
3,795,199
425,000
Coco Palms FL CDD Spl Assmnt
4.50%
05/01/32
425,220
1,000,000
Coco Palms FL CDD Spl Assmnt
5.00%
05/01/46
975,908
1,500,000
Connerton E CDD FL Spl Assmnt Area One
5.25%
06/15/43
1,537,455
750,000
Connerton E CDD FL Spl Assmnt Area Two
5.63%
06/15/55
750,194
395,000
Crossings CDD FL Spl Assmnt Area Two
5.60%
05/01/54
387,483
1,000,000
Crosswinds E CDD FL Spl Assmnt Area One Proj
5.50%
05/01/44
1,013,957
1,500,000
Crosswinds E CDD FL Spl Assmnt Area One Proj
5.75%
05/01/54
1,505,687
600,000
Cypress Bluff CDD FL Spl Assmnt Del Web Proj, Ser A (a)
3.63%
05/01/40
541,066
1,640,000
Eden Hills Cmnty Dev Dist FL Spl Assmnt
4.00%
05/01/42
1,504,248
1,765,000
Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One
4.00%
05/01/51
1,404,108
2,630,000
Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two
4.00%
05/01/52
2,094,426
3,040,000
Epperson N CDD FL Capital Impt Rev Assmnt Area #2
4.00%
05/01/51
2,485,692
590,000
Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (a)
5.00%
11/01/29
599,007
995,000
Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (a)
5.50%
11/01/39
1,012,638
1,250,000
Fallschase Cmnty Dev Dist FL Spl Assmnt
3.38%
05/01/41
1,026,749
1,250,000
FL Dev Fin Corp Hlthcare Facs Rev Tampa General Hosp Proj,
Ser A
5.00%
08/01/47
1,282,802
1,000,000
FL Loc Govt Fin Commn Sr Living Rev Fleet Landing at Nocatee
Proj, Ser A (a)
6.63%
11/15/45
1,074,461
1,000,000
FL St Dev Fin Corp Sol Wst Disp Rev Var GFL Solid Wst SE LLC
Proj, Ser A, AMT (Mandatory put 10/01/31) (a)
4.38%
10/01/54
1,003,607
See Notes to Financial Statements
Page 5
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Florida (Continued)
$1,000,000
FL St Dev Fin Corp Sol Wst Disp Rev Wst Pro USA Inc Proj
Remk, AMT (a)
4.50%
07/01/32
$992,884
1,005,000
FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty
Proj, Ser A (a)
4.00%
06/01/41
888,924
750,000
FL St Dev Fin Corp Sr SFP Tampa I The Henry Proj, Ser A-1 (a)
5.00%
06/01/44
741,882
500,000
Forest Lake Cmnty Dev Dist FL Spl Assmnt Area 1 Proj (a)
4.00%
05/01/40
451,322
1,750,000
Fort Lauderdale FL Wtr & Swr Rev Enabling Wks Proj, Ser A
5.50%
09/01/53
1,865,984
190,000
Gardens at Hammock Beach CDD FL Spl Assmnt Area One, Ser 1
4.80%
05/01/31
191,392
300,000
Gardens at Hammock Beach CDD FL Spl Assmnt Area One, Ser 1
5.38%
05/01/44
303,730
650,000
Groves at Lake Marion CDD FL Spl Assmnt (a)
5.30%
12/15/46
643,362
2,405,000
Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj
4.38%
11/01/49
2,035,819
2,000,000
Halifax FL Hosp Med Ctr Ref
5.00%
06/01/36
2,001,152
375,000
Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj
4.70%
05/01/31
377,654
500,000
Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj
5.50%
05/01/44
504,763
1,000,000
Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj
5.80%
05/01/54
986,703
1,825,000
Hillsborough Cnty FL Aviation Auth Pfc Sub Tampa Intl Arpt,
Ser A, AMT
5.00%
10/01/48
1,827,123
500,000
Hillsborough Cnty FL Aviation Auth Tampa Intl Arpt, Ser B, AMT
5.50%
10/01/49
525,808
2,500,000
Jacksonville FL Aviation Auth, AMT
5.50%
10/01/50
2,623,372
520,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Azario Proj
3.75%
05/01/40
470,546
2,560,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Lakewood
Ranch SE Proj
5.80%
05/01/45
2,710,434
1,750,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Lakewood
Ranch SE Proj
6.00%
05/01/56
1,815,927
750,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector
Proj Phase 1A
5.00%
05/01/38
756,537
665,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Palm Grove
Proj
5.50%
05/01/55
668,739
100,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref NE
Sector Proj Phase 2B (a)
4.00%
05/01/50
82,808
1,325,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev
Stewardship Dist Azario Proj
4.00%
05/01/50
1,097,212
1,025,000
Langley S CDD FL Spl Assmnt Area One
5.13%
05/01/44
1,023,531
2,385,000
Langley S CDD FL Spl Assmnt Area One
5.40%
05/01/55
2,314,125
1,150,000
Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point
Waterside Hlth Proj
5.00%
11/15/49
1,150,930
300,000
LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area
Two Proj Pod 5, Ser AA2
5.70%
05/01/44
303,211
1,225,000
Mangrove Point & Mangrove Manor FL CDD Capital Impt
4.25%
05/01/42
1,055,436
435,000
Mangrove Point & Mangrove Manor FL CDD Capital Impt
4.38%
05/01/52
344,521
2,050,000
Miami Beach FL Hlth Facs Auth Mt Sinai Med Ctr of FL, Ser B
4.00%
11/15/46
1,817,002
2,570,000
Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT
5.00%
10/01/38
2,571,051
2,500,000
Miami-Dade Cnty FL Aviation Rev, Ser A, AMT
5.00%
10/01/49
2,483,132
1,230,000
Miami-Dade Cnty FL Indl Dev Auth Eductnl Facs Rev Mater
Acdmy Projs
5.25%
06/15/56
1,219,000
1,000,000
Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT
5.00%
10/01/47
1,008,296
1,900,000
Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT
5.25%
10/01/52
1,916,982
1,880,000
N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One
4.50%
05/01/40
1,822,418
1,500,000
N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area Two
3.38%
11/01/41
1,256,289
1,000,000
N Springs FL Impt Dist Parkland Bay Assmt Area (a)
4.88%
05/01/38
1,002,979
See Notes to Financial Statements
Page 6
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Florida (Continued)
$2,000,000
N Sumter Cnty FL Util Dependent Dist Util Rev Sr Central Sumter
Util
5.00%
10/01/49
$2,023,416
1,475,000
Normandy CDD FL Capital Impt Rev Assmnt Area One (a)
5.30%
05/01/44
1,447,163
225,000
Nthrn Palm Beach Cnty FL Impt Dist
3.45%
08/01/41
179,622
1,240,000
Okaloosa Cnty FL Indl Dev Rev Air Force Enlisted Vlg Inc Proj (a)
5.50%
05/15/45
1,274,233
1,000,000
Okaloosa Cnty FL Indl Dev Rev Air Force Enlisted Vlg Inc Proj (a)
5.75%
05/15/55
1,012,330
1,300,000
Old Hickory CDD FL Spl Assmnt Spl Asmt
4.00%
06/15/40
1,181,282
1,800,000
Palm Beach Cnty FL Hlth Facs Auth Acts Retmnt Life Cmntys
Inc, Ser A
5.00%
11/15/45
1,807,774
1,000,000
Palm Beach Cnty FL Rev Sr Bond Provident Grp PBAU Properties
II LLC, Ser A (a)
5.75%
10/01/55
1,028,318
465,000
Parkland Preserve CDD FL Spl Assmnt Rev 2019A Spl
Assmnts, Ser A
5.25%
05/01/39
472,210
775,000
Parrish Lakes CDD FL Capital Impt Rev Assmnt Area Three
5.50%
05/01/44
782,768
1,000,000
Pioneer Ranch CDD FL Spl Assmnt
5.00%
05/01/44
977,299
1,000,000
Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary
Phosphate Tailings Recovery Proj (e) (h)
5.88%
01/01/33
200,000
610,000
Pompano Beach FL Rev John Knox Vlg Proj, Ser A
4.00%
09/01/41
563,035
1,050,000
Pompano Beach FL Rev Ref John Knox Vlg Proj
4.00%
09/01/50
877,979
690,000
Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One
5.88%
12/15/43
729,364
990,000
Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One
6.13%
12/15/53
1,039,647
1,730,000
Reunion E FL CDD Spl Assmnt, Ser 2021
4.00%
05/01/51
1,396,946
390,000
Rivington CDD FL Spl Assmnt Rev 2022 Assmnt Area
4.00%
05/01/52
309,671
645,000
Rivington CDD FL Spl Assmnt Rev Assmnt Area
3.38%
05/01/31
618,543
500,000
Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s
Landing Proj, Ser A
4.00%
12/15/36
470,720
1,100,000
Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s
Landing Proj, Ser A
4.00%
12/15/41
966,988
830,000
Saltleaf CDD FL Capital Impt Rev
5.70%
05/01/46
835,720
2,765,000
Saltleaf CDD FL Capital Impt Rev
6.00%
05/01/56
2,774,677
1,880,000
Sandridge Cmnty Dev Dist FL Spl Assmnt Rev Phase II Proj
4.30%
05/01/52
1,567,639
2,000,000
Sawyers Landing CDD FL Spl Assmnt Rev
4.13%
05/01/41
1,831,769
2,000,000
Sawyers Landing CDD FL Spl Assmnt Rev
4.25%
05/01/53
1,675,059
2,000,000
Scenic Terrace S CDD FL Spl Assmnt Proj, Ser 2022
4.63%
05/01/53
1,770,174
1,500,000
Seagrove CDD FL Spl Assmnt
4.88%
06/15/44
1,449,486
490,000
Shell Point Cmnty Dev Dist FL Spl Assmnt (a)
5.25%
11/01/39
495,786
1,000,000
Shingle Creek at Bronson CDD FL Spl Assmnt
3.50%
06/15/41
884,042
1,945,000
Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1
4.00%
05/01/51
1,578,863
575,000
Sugarloaf CDD FL Capital Impt Rev Assmnt Area One
5.38%
12/15/46
575,065
100,000
Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj
4.00%
05/01/50
82,808
1,580,000
Sunrise CDD FL Capital Impt Rev (a)
5.63%
05/01/45
1,562,318
2,300,000
The Heights CDD FL Spl Assmnt Rev CDD
5.00%
01/01/50
2,165,288
1,250,000
Three Rivers CDD FL
5.50%
05/01/45
1,223,815
835,000
Triple Creek FL CDD Spl Assmnt Vlgs Q&R Proj (a)
4.00%
11/01/51
680,315
1,050,000
Trout Creek CDD FL Capital Impt Rev
4.00%
05/01/51
851,110
855,000
V-Dana CDD FL Spl Assmnt Area Two 2025 Proj Area
5.38%
05/01/45
860,422
725,000
Venice FL Vlg on The Isle Proj, Ser A (a)
5.50%
01/01/55
711,185
995,000
Veranda CDD II FL Spl Assmnt Rev Ref Assmt Area 3 Preserve E
Proj
5.38%
05/01/54
994,602
145,000
Villamar CDD FL Spl Assmnt
4.00%
05/01/29
145,348
1,400,000
Volusia Cnty FL Eductnl Fac Auth Stetson Univ Inc Proj
5.25%
06/01/49
1,390,825
See Notes to Financial Statements
Page 7
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Florida (Continued)
$3,035,000
W Vlgs FL Impt Dist Ref Spl Assmt Unit Dev #1
4.63%
05/01/38
$2,955,400
990,000
W Vlgs FL Impt Dist Unit Dev #10 Assmnt Area One
5.38%
05/01/44
999,794
500,000
W Vlgs FL Impt Dist Unit of Dev #10 Assmnt Area Two
5.25%
05/01/45
498,643
900,000
Westside FL CDD Spl Assmnt Rev Ref (a)
4.13%
05/01/38
846,591
1,155,000
Westview S CDD FL Spl Assmnt Area One 2023 Proj Area
5.38%
05/01/43
1,183,396
1,210,000
Wildblue CDD FL Spl Assmnt (a)
4.25%
06/15/39
1,121,768
 
152,042,923
Georgia — 3.4%
1,000,000
Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord,
Ser D, AMT
4.00%
07/01/37
985,881
1,000,000
Atlanta GA Dev Auth Convertible Ctfs, Class A, Ser 1, CABS,
steps up to 6.50% on 06/15/28 (a) (g)
0.00%
12/15/48
916,654
500,000
Atlanta GA Dev Auth Westside Gulch Area Proj, Ser A-1 (a)
5.00%
04/01/34
507,497
2,800,000
Bartow Cnty GA Dev Auth Solid Wst Disp Fac Rev Var GA Pwr
Co Plt Bowen Proj, AMT (b)
3.15%
11/01/62
2,800,000
1,800,000
Burke Cnty GA Dev Auth Poll Control Rev Adjustable GA Pwr Co
Plant Vogtle Proj Remk (b)
3.15%
11/01/52
1,800,000
3,000,000
Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co
Plant Vogtle Proj (b)
3.05%
11/01/52
3,000,000
500,000
Cobb Cnty GA Dev Auth Chartersch Rev NW Classical Acdmy
Proj, Ser A (a)
6.00%
06/15/43
502,937
1,750,000
Cobb Cnty GA Dev Auth Chartersch Rev NW Classical Acdmy
Proj, Ser A (a)
6.40%
06/15/53
1,739,419
1,125,000
Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth
Sys Inc Proj, Ser A
5.75%
04/01/53
1,191,531
3,000,000
Floyd Cnty GA Dev Auth Adj GA Pwr Co Plt Hammond Proj (b)
3.15%
09/01/26
3,000,000
2,275,000
Fulton Cnty GA Dev Auth Rev Piedmont Hlthcare Inc Proj
Multimodal Bond, Ser A
4.00%
07/01/49
2,004,372
1,000,000
Fulton Cnty GA Dev Auth Stdt Hsg Rev Madrone MS Stdt Hsg
I LLC Proj, Ser A-1 (a)
5.00%
07/01/41
997,123
3,000,000
Fulton Cnty GA Dev Auth Stdt Hsg Rev Madrone MS Stdt Hsg
I LLC Proj, Ser A-1 (a)
5.50%
07/01/51
2,967,123
1,335,000
Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref
Lenbrook Sq Fdtn Inc
5.00%
07/01/31
1,336,006
500,000
Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel
Second Tier, Ser B (a)
5.00%
01/01/36
502,377
1,750,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put
12/01/29)
4.00%
09/01/52
1,757,741
1,000,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put
12/01/28)
4.00%
05/01/52
1,005,355
3,660,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put
09/01/30)
5.00%
09/01/53
3,845,308
2,000,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put
12/01/30)
5.00%
05/01/54
2,082,465
1,000,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser E-1 (Mandatory put
06/01/31)
5.00%
12/01/53
1,053,293
 
33,995,082
Guam — 0.0%
155,000
Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A
5.00%
01/01/50
157,660
See Notes to Financial Statements
Page 8
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Hawaii — 0.1%
$1,000,000
HI St Dept of Budget & Fin Spl Purp Rev Ref HI Pacific Univ
Proj (a)
5.13%
07/01/43
$950,570
Idaho — 0.7%
1,000,000
Avimor Cmnty Infra Dist #1 ID Spl Assmnt Area Five (a)
5.88%
09/01/53
1,015,437
1,500,000
Avimor Cmnty Infra Dist #1 ID Spl Assmnt Area Six, Ser B (a)
5.50%
09/01/53
1,487,526
900,000
ID Falls ID Auditorium Dist Annual Approp Ctfs, COPS (a)
5.25%
05/15/51
880,772
4,000,000
Spring Vly ID Cmnty Infra Dist #1 Spl Assmnt Area Two (a)
6.25%
09/01/53
4,061,806
 
7,445,541
Illinois — 3.0%
1,750,000
Chicago IL Brd of Edu Ref, Ser B
5.00%
12/01/30
1,779,705
1,000,000
Chicago IL Brd of Edu, Ser A
5.00%
12/01/35
1,000,019
1,000,000
Chicago IL Brd of Edu, Ser A
5.00%
12/01/41
945,099
1,590,000
Chicago IL Brd of Edu, Ser D
5.00%
12/01/46
1,439,349
750,000
Chicago IL Chicago Wks, Ser A
5.50%
01/01/40
765,347
5,500,000
Chicago IL O’Hare Intl Arpt Rev Sr Lien, Ser E, AMT
5.50%
01/01/48
5,771,642
1,415,000
Cook Cnty IL MF Hsg Rev Deerfield Supportive Living Proj
6.50%
01/01/45
1,443,249
250,000
IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj
5.00%
12/01/30
251,669
250,000
IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj
5.00%
12/01/31
251,328
1,500,000
IL St Fin Auth Rev Ref Moorings of Arlington Heights, Ser A
5.13%
11/01/46
1,498,697
2,500,000
IL St Fin Auth Rev Ref Northshore Edward Elmhurst Hlth Credit
Grp, Ser A
5.00%
08/15/51
2,501,715
300,000
IL St Fin Auth Stdt Hsg & Acad Fac Rev CHF Chicago LLC Univ
IL Chicago Proj, Ser A
5.00%
02/15/27
301,794
145,000
IL St Fin Auth Stdt Hsg & Acad Fac Rev CHF Chicago LLC Univ
IL Chicago Proj, Ser A
5.00%
02/15/28
146,576
1,750,000
IL St, Ser A
5.50%
03/01/47
1,819,755
1,365,000
IL St, Ser B
5.50%
05/01/47
1,419,716
2,000,000
IL St, Ser C
5.00%
11/01/29
2,044,924
1,655,407
Lincolnwood IL Tax Incr Allocation Rev NTS Dist 1860 Dev
Proj, Ser A, COPS (a)
4.82%
01/01/41
1,592,458
1,100,000
Lincolnwood IL Tax Incr Allocation Rev NTS Dist 1860 Dev
Proj, Ser B, COPS (a)
5.75%
12/01/43
1,118,448
1,000,000
S Wstrn IL Dev Auth Envrnmntl Impt Rev US Steel Corp Proj
5.75%
08/01/42
1,000,746
3,000,000
Schaumburg Cook & DuPage Cntys IL Tax Incr Rev NT N
Schaumburg Redev Proj Area Proj Rev Nts, COPS (a)
6.13%
12/30/38
3,002,535
 
30,094,771
Indiana — 1.1%
1,410,000
Carmel IN Redev Auth
3.00%
07/15/40
1,210,913
250,000
Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a)
5.30%
01/01/32
243,641
1,250,000
IN St Fin Auth Rev Ref Marquette Proj, Ser A
5.25%
03/01/50
1,259,249
1,700,000
IN St Fin Auth Rev Ref Marquette Proj, Ser A
5.38%
03/01/55
1,711,321
2,435,000
IN St Fin Auth Stdt Hsg Rev Sr Stdt Hsg Proj, Ser A
5.00%
07/01/49
2,345,121
1,250,000
IN St Fin Auth Stdt Hsg Rev Sr Stdt Hsg Proj, Ser A
5.00%
07/01/54
1,192,111
1,700,000
Indianapolis IN Loc Pub Impt Bond Bank Sr Convention Ctr
Hotel, Ser E
6.00%
03/01/53
1,748,830
400,000
Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj
5.10%
01/01/32
389,409
500,000
Valparaiso IN Exempt Facs Rev Ref Pratt Paper IN LLC Proj,
AMT (a)
4.88%
01/01/44
506,853
 
10,607,448
See Notes to Financial Statements
Page 9
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Iowa — 0.7%
$1,600,000
Dallas Ctr IA Grimes Cmnty Sch Dist
3.00%
05/01/39
$1,355,215
3,000,000
IA St Fin Auth Midwstrn Disaster Area Rev Alcoa Inc Proj
4.75%
08/01/42
3,002,880
1,300,000
IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Co
Proj (Pre-refunded maturity 12/01/32)
5.00%
12/01/50
1,443,278
750,000
IA St Fin Auth Sr Living Fac Rev Presbyterian Homes Mill Pond
Proj Ref
5.75%
10/01/55
762,935
 
6,564,308
Kansas — 0.6%
1,950,000
Lenexa KS Hlth Care Fac Rev Ref Lakeview Vlg Inc, Ser A
5.00%
05/15/43
1,949,247
175,000
Shawnee Cnty KS Pub Bldg Commn Rev Corrections and Parks &
Rec Projs
5.50%
09/01/34
195,055
2,500,000
Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev
Northwest Speedway Star Bond Dist Proj (a)
5.50%
03/01/46
2,484,796
1,250,000
Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg
E Proj Areas 2B 3 5 (a)
5.75%
09/01/39
1,270,327
 
5,899,425
Kentucky — 2.2%
875,000
Boyle Cnty KY Eductnl Facs Rev Ref Ctr Clg, Ser A
5.25%
06/01/43
894,965
875,000
Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A,
AMT (a)
4.45%
01/01/42
862,431
2,000,000
Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A,
AMT (a)
4.70%
01/01/52
1,880,763
1,650,000
Jefferson Cnty KY Sch Dist Fin Corp Sch Bldg Rev, Ser B
3.00%
12/01/38
1,409,791
2,840,000
Kenton Cnty KY Arpt Brd, Ser A, AMT
5.25%
01/01/49
2,894,088
1,000,000
KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A
5.00%
06/01/41
988,223
1,500,000
KY St Pub Energy Auth Gas Sply Rev Ref, Ser A-1 (Mandatory put
02/01/32)
5.25%
04/01/54
1,584,169
2,525,000
KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put
02/01/28)
4.00%
02/01/50
2,544,051
1,000,000
Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton
Hlthcare Inc, Ser A
4.00%
10/01/39
946,879
3,100,000
Louisville & Jefferson Cnty KY Regl Arpt Auth Var UPS
Worldwide Forwarding, Ser A (b)
3.15%
01/01/29
3,100,000
3,600,000
Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj
Sustainable Bond, Ser B-1 (b)
3.50%
08/01/61
3,600,000
1,150,000
Rural Wtr Fing Agy KY Pub Projs Rev Flexible Term Prog, Ser H
3.00%
08/01/39
958,565
 
21,663,925
Louisiana — 0.9%
2,000,000
LA Pub Facs Auth Rev Acadiana Renaissance Chrt Acdmy Proj (a)
6.00%
06/15/59
1,995,741
2,000,000
LA Pub Facs Auth Rev I-10 Calcasieu River Bridge Pub Priv
Partnership Proj, AMT
5.75%
09/01/64
2,059,173
1,000,000
New Orleans LA Sewage Svc Rev, Ser B
5.00%
06/01/45
995,392
1,000,000
Saint James Parish LA Rev NuStar Logistics LP Proj Remk,
Ser 2010 (a)
6.35%
07/01/40
1,070,161
1,000,000
Saint James Parish LA Rev NuStar Logistics LP Proj Remk,
Ser 2010A (a)
6.35%
10/01/40
1,070,186
1,600,000
Saint James Parish LA Rev Var NuStar Logistics LP Proj
Remk, Ser 2010B (Mandatory put 06/01/30) (a)
6.10%
12/01/40
1,738,098
 
8,928,751
See Notes to Financial Statements
Page 10
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Maine — 0.2%
$1,500,000
ME St Fin Auth Univ of New England Issue
5.50%
07/01/50
$1,583,670
Maryland — 1.1%
1,020,000
Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A
5.00%
09/01/38
1,024,971
175,000
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)
2.95%
06/01/27
173,882
185,000
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)
3.05%
06/01/28
182,896
200,000
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)
3.15%
06/01/29
196,855
190,000
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)
3.20%
06/01/30
185,454
700,000
Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology
Park Proj, Ser B (a)
4.63%
07/01/43
700,157
1,000,000
MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj, Ser A
5.38%
07/01/38
1,052,904
400,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Kennedy Kriegern
Issue, Ser A
5.25%
07/01/44
414,556
3,000,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Medstar Hlth
Issue, Ser A
5.25%
08/15/51
3,105,427
3,675,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Meritus Hlth Issue
5.25%
07/01/50
3,770,777
 
10,807,879
Massachusetts — 1.2%
750,000
MA St Dev Fin Agy Chrt Sch Rev Lowell Cmnty Chrt Pub Sch
Proj (a)
5.00%
07/01/46
726,893
825,000
MA St Dev Fin Agy Chrt Sch Rev Lowell Cmnty Chrt Pub Sch
Proj (a)
5.38%
07/01/56
789,715
1,000,000
MA St Dev Fin Agy Rev Chf Wentworth Inc Issue Pike Stdt Hsg
Proj Sr, Ser A (a)
5.25%
07/01/41
1,027,394
1,100,000
MA St Dev Fin Agy Rev Chf Wentworth Inc Issue Pike Stdt Hsg
Proj Sr, Ser A (a)
5.13%
07/01/51
1,058,555
1,000,000
MA St Dev Fin Agy Rev Lasell Vlg Inc
5.25%
07/01/50
1,016,723
360,000
MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a)
5.00%
11/15/28
371,193
1,450,000
MA St Dev Fin Agy Rev Merrimack Clg Stdt Hsg Proj, Ser A (a)
5.00%
07/01/54
1,359,045
1,000,000
MA St Dev Fin Agy Rev Merrimack Clg Stdt Hsg Proj, Ser A (a)
5.00%
07/01/60
921,424
1,020,000
MA St Dev Fin Agy Rev Ref Salem Cmnty Corp
5.13%
01/01/40
1,006,640
1,500,000
MA St Dev Fin Agy Sr Living Rev Care Cmntys LLC Obligated
Grp, Ser A-1 (a)
6.50%
07/15/60
1,523,873
2,355,000
MA St Port Auth, Ser E, AMT
5.00%
07/01/51
2,370,728
 
12,172,183
Michigan — 1.0%
1,100,000
Detroit MI Sustainable Bonds, Ser A
5.00%
04/01/46
1,114,132
3,000,000
Detroit MI Sustainable Bonds, Ser A
5.00%
04/01/50
3,009,097
1,750,000
Kentwood MI Econ Dev Corp Ref Holland Home Oblig Grp
5.00%
11/15/37
1,751,260
1,500,000
Mattawan MI Consol Sch Dist, Ser I
5.00%
05/01/47
1,555,979
1,500,000
MI St Fin Auth Rev Reftrinity Hlth Credit Grp Remk, Ser MI-2
3.00%
03/01/46
1,136,696
1,000,000
MI St Strategic Fund Ltd Oblg Rev Holland Home
5.00%
11/15/42
991,715
750,000
MI St Strategic Fund Ltd Oblig Tax Capture Rev Bedrock Detroit
Transformational Brownfield Plan Proj (a)
5.50%
10/01/53
753,836
 
10,312,715
Minnesota — 1.3%
600,000
Apple Vly MN Sr Hsg Rev Phs Apple Vly Sr Hsg Inc Orchard Path
Phase III Proj, Ser A
5.50%
09/01/55
610,145
815,000
Apple Vly MN Sr Hsg Rev Phs Apple Vly Sr Hsg Inc Orchard Path
Phase III Proj, Ser A
5.63%
09/01/65
817,870
See Notes to Financial Statements
Page 11
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Minnesota (Continued)
$1,000,000
Apple Vly MN Sr Hsg Rev Ref Phs Apple Vly Sr Hsg Inc Orchard
Path Proj
5.00%
09/01/43
$1,000,035
500,000
Eagan MN Chrtr Sch Lease Rev Great Oaks Acdmy, Ser A (a)
6.38%
02/01/55
492,201
100,000
Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj
3.80%
08/01/27
99,446
2,450,000
Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Subord
Priv Activity, Ser B, AMT
5.25%
01/01/42
2,585,446
1,655,000
Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Subord
Priv Activity, Ser B, AMT
5.25%
01/01/49
1,710,372
1,000,000
MN St Agric & Econ Devbrd HealthPartners Obligated Grp
5.25%
01/01/54
1,018,172
975,000
Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref Hgr
Ground Acdmy Proj
4.25%
12/01/32
985,942
1,390,000
Saint Paul MN Hsg & Redev Auth Hlth Care Rev Ref Sys Fairview
Hlth Svcs, Ser A
5.00%
11/15/47
1,347,465
1,000,000
Saint Paul Park MN Hsg Rev Ref Presbyterian Homes Norris
Square Proj
5.25%
06/01/51
967,800
850,000
Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj,
Ser A
4.00%
07/01/41
711,619
660,000
Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj,
Ser A
4.00%
07/01/51
488,941
 
12,835,454
Mississippi — 0.5%
1,400,000
Gulfport MS Hosp Fac Rev Memorial Hosp at Gulfport Proj
5.50%
07/01/50
1,427,839
1,925,000
MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA
Inc PJ, Ser A (b)
3.15%
12/01/30
1,925,000
1,150,000
MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron
USA, Ser B (b)
3.05%
11/01/35
1,150,000
 
4,502,839
Missouri — 2.6%
3,170,000
Kansas City MO Indl Dev Auth Econ Activity Tax Rev Historic NE
Redev Plan, Ser A-1 (a)
5.00%
06/01/54
3,068,855
3,000,000
Kansas City MO Indl Dev Auth Ref Platte Pur Proj A C & E (a)
6.00%
01/01/48
3,051,511
600,000
Lees Summit MO Indl Dev Auth Sr Living Facs Rev John Knox
Vlg, Ser A
5.38%
08/15/50
602,573
500,000
Lees Summit MO Indl Dev Auth Sr Living Facs Rev John Knox
Vlg, Ser A
5.00%
08/15/51
469,040
1,000,000
Lees Summit MO Indl Dev Auth Sr Living Facs Rev Ref John
Knox Vlg, Ser A
5.00%
08/15/39
1,009,587
925,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref BJC Hlth
Sys, Ser A
4.00%
07/01/46
854,040
2,000,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Var SSM Hlth
Care Remk, Ser F (b)
3.10%
06/01/44
2,000,000
435,000
MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs
Projs, Ser A, Ser ASR
5.00%
02/01/29
444,002
1,070,000
MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs
Projs, Ser A, Ser ASR
5.00%
02/01/42
1,080,171
10,000
MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A
5.00%
02/01/29
10,007
3,045,000
MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A
5.25%
02/01/48
3,083,611
1,145,000
MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser B
5.00%
02/01/46
1,145,002
1,000,000
Phelps Cnty MO Hosp Rev Phelps Hlth
6.00%
12/01/55
1,044,056
250,000
St Charles Cnty MO Pub Wtr Sply Dist #2 Pub Wtr Sply Dist No 2,
COPS
4.00%
12/01/44
237,232
See Notes to Financial Statements
Page 12
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Missouri (Continued)
$1,000,000
St Louis Cnty MO Indl Dev Auth Sr Living Facs Friendship Vlg St
Louis Oblig Grp, Ser A
5.13%
09/01/48
$997,518
730,000
St Louis Cnty MO Indl Dev Auth Sr Living Facs Friendship Vlg St
Louis Oblig Grp, Ser A
5.25%
09/01/53
719,648
4,450,000
St Louis Cnty MO Indl Dev Auth Sr Living Facs Ref Friendship
Vlg St Louis
5.00%
09/01/48
4,366,058
2,000,000
Taney Cnty MO Indl Dev Auth Sales Tax Rev Big Cedar Infra
Proj (a)
6.00%
10/01/49
1,995,908
 
26,178,819
Nebraska — 0.2%
750,000
Omaha NE Arpt Auth Arpt Facs, AG, AMT
5.25%
12/15/43
794,480
1,325,000
Omaha NE Arpt Auth Arpt Facs, Ser A, AMT
5.50%
12/15/51
1,401,686
 
2,196,166
Nevada — 0.4%
930,000
Clark Cnty NV Sch Dist, Ser B, BAM
3.00%
06/15/41
751,289
755,000
Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject
5.00%
03/01/38
772,246
970,000
Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject
5.25%
03/01/48
976,362
440,000
Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin
Vlg 29
5.75%
06/01/43
467,340
490,000
Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin
Vlg 29
6.00%
06/01/48
516,334
185,000
N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64
4.00%
06/01/29
184,894
 
3,668,465
New Hampshire — 2.6%
1,000,000
Natl Fin Auth NH Rev Ref Sustainable Bond, Ser B, AMT
(Mandatory put 07/02/40) (a)
3.75%
07/01/45
809,113
1,500,000
Natl Fin Auth NH Rev Winston Salem Sustainable Energy
Partners, Ser A
5.50%
06/01/50
1,559,099
1,200,000
Natl Fin Auth NH Spl Rev (a)
5.88%
12/15/33
1,193,617
1,000,000
Natl Fin Auth NH Spl Rev (a)
5.38%
12/15/35
993,377
2,500,000
Natl Fin Auth NH Spl Rev Canyon Ranch Proj, CABS (a)
(c)
12/01/35
1,313,792
2,000,000
Natl Fin Auth NH Spl Rev Emberly and Canterra Creek Projs (a)
5.38%
12/01/31
1,986,740
2,000,000
Natl Fin Auth NH Spl Rev Forestar Grp Houston Area Projs (a)
6.50%
12/01/34
2,000,798
5,000,000
Natl Fin Auth NH Spl Rev Goodland Proj, CABS
(c)
12/15/39
2,014,305
2,000,000
Natl Fin Auth NH Spl Rev Megatel Projs, CABS (a)
(c)
12/15/33
1,144,337
2,000,000
Natl Fin Auth NH Spl Rev Provence Proj, CABS (a)
(c)
12/01/31
1,404,553
5,000,000
Natl Fin Auth NH Spl Rev The Astro Sunterra Projs, CABS (a)
(c)
12/15/34
2,888,849
1,915,000
Natl Fin Auth NH Spl Rev The Chambers Creek Proj, CABS (a)
(c)
12/15/32
1,252,895
1,200,000
Natl Fin Auth NH Spl Rev The Highlands Proj
5.13%
12/15/30
1,199,587
4,413,000
Natl Fin Auth NH Spl Rev The La Segarra Proj, CABS (a)
(c)
12/01/39
1,693,740
1,500,000
Natl Fin Auth NH Spl Rev The Wildflower Proj, CABS (a)
(c)
12/15/33
958,723
3,500,000
NH St Hlth & Edu Facs Auth Rev Ref Dartmouth Hlth Oblig Grp
Issue
5.50%
08/01/50
3,701,484
 
26,115,009
New Jersey — 0.1%
825,000
NJ St Econ Dev Auth Spl Fac Rev Continental Airls Inc Proj
Remk, Ser B, AMT
5.63%
11/15/30
826,135
560,000
NJ St Transprtn Trust Fund Auth Fun Auth Transprtn Prog
Bonds, Ser CC
5.25%
06/15/41
598,498
 
1,424,633
See Notes to Financial Statements
Page 13
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
New Mexico — 0.1%
$529,000
Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a)
3.75%
05/01/28
$526,149
500,000
Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a)
4.00%
05/01/33
484,859
500,000
Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a)
4.25%
05/01/40
472,701
 
1,483,709
New York — 3.6%
1,500,000
Build NYC Res Corp NY Rev Riverspring Hlth Sr Living Inc
Proj, Ser A (a)
6.50%
12/15/45
1,517,656
1,000,000
Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub
Sch Facs Canal W Proj
5.25%
07/01/52
1,002,684
447,202
Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds
Tomopkins Terrace Hsg LP Proj
5.00%
10/01/40
461,921
1,250,000
Genesee Cnty NY Funding Corp Rochester Regl Hlth Energy
Proj, Ser A
5.25%
12/01/50
1,273,222
750,000
Hempstead Town NY Loc Dev Corp Rev Adelphi Univ Proj, Ser A
5.25%
10/01/51
751,435
2,000,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev
Adjustable 2nd Gen Resolution Fiscal 2014, Ser AA-1 (b)
3.05%
06/15/50
2,000,000
2,700,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var
2nd Gen Resolution Remk, Ser BB-2 (b)
3.10%
06/15/49
2,700,000
4,700,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var
Ref Sub 2nd General Resolution Fiscal 2026, Ser FF-2 (b)
3.10%
06/15/41
4,700,000
2,625,000
New York City NY Transitional Fin Auth Rev Future Tax Secured
Subord Bonds, Ser C-1
4.00%
02/01/42
2,460,139
525,000
NY St Dorm Auth Revs Non St Supported Debt Iona Clg, Ser A
5.00%
07/01/46
525,697
300,000
NY St Dorm Auth Revs Non St Supported Debt New York Institute
of Technology
5.00%
07/01/44
305,403
1,925,000
NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A
3.00%
03/15/42
1,572,340
500,000
NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc
Areas Proj, AMT
4.00%
10/31/46
448,649
1,250,000
NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia
Arpt Terminals C&D Redev, AMT
5.00%
10/01/40
1,274,389
2,540,000
NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia
Arpt Terminals C&D Redev, AMT
4.38%
10/01/45
2,399,196
1,000,000
NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc
John F Kennedy Intl Arpt Proj, AMT
5.00%
08/01/31
999,949
3,660,000
NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl
Arpt Proj, AMT
5.25%
08/01/31
3,791,206
165,000
NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl
Arpt New Terminal, AMT
5.25%
06/30/49
165,853
1,515,000
NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl
Arpt New Terminal, AMT
5.50%
06/30/54
1,534,875
1,000,000
NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl
Arpt Terminal One Prj, AMT
6.00%
06/30/54
1,032,024
500,000
Oyster Bay NY, Ser A, AG
2.00%
03/01/35
411,216
2,000,000
Suffolk Regl Off Track Betting Corp NY Rev
5.75%
12/01/44
2,042,351
2,000,000
Suffolk Regl Off Track Betting Corp NY Rev
6.00%
12/01/53
2,033,924
100,000
Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn
Memorial Home Assn Proj
5.00%
07/01/34
102,019
 
35,506,148
North Carolina — 2.0%
3,300,000
NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For the
Aging Ref, Ser A
4.00%
03/01/41
3,117,836
See Notes to Financial Statements
Page 14
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
North Carolina (Continued)
$2,000,000
NC St Med Care Commn Retmnt Facs Rev Carolina Meadows
4.50%
12/01/44
$1,971,528
3,200,000
NC St Med Care Commn Retmnt Facs Rev Carolina Meadows
5.25%
12/01/54
3,250,685
2,000,000
NC St Med Care Commn Retmnt Facs Rev Deerfield Episcopal
Retmnt Cmnty Proj, Ser A
5.25%
11/01/46
2,054,369
2,090,000
NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield
Proj, Ser A
5.00%
10/01/45
2,026,368
2,850,000
NC St Med Care Commn Retmnt Facs Rev Ref Southminster Inc
5.00%
10/01/37
2,851,336
1,780,000
NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj
4.00%
09/01/46
1,554,778
525,000
NC St Med Care Commn Retmnt Facs Rev The United Methodist
Retmnt Homes Proj, Ser A
5.00%
10/01/44
536,096
1,500,000
NC St Med Care Commn Retmnt Facs Rev The United Methodist
Retmnt Homes Proj, Ser A
5.00%
10/01/49
1,504,925
535,000
NC St Med Care Commn Retmnt Facs Rev United Methodist
Retmnt Homes Proj, Ser A
5.13%
10/01/45
555,634
 
19,423,555
North Dakota — 0.0%
520,000
Horace ND Ref
3.00%
05/01/36
427,927
Ohio — 3.9%
4,250,000
Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2
5.00%
06/01/55
3,219,277
900,000
Cleveland Cuyahoga Cnty OH Port Auth Tax Incr Fing Rev Ref Sr
Flats E Bank Proj, Ser A (a)
4.00%
12/01/55
688,838
2,000,000
Columbus Franklin Cnty OH Fin Auth Mf Hsg Rev Silver Birch of
Columbus Proj, Ser A (a)
6.05%
01/01/46
2,031,994
3,000,000
Columbus Franklin Cnty OH Fin Auth Mf Hsg Rev Vivera
Brookshire Proj, Ser A (a)
6.30%
01/01/46
2,997,732
3,750,000
Columbus OH Regl Arpt Auth Rev Ref John Glenn Columbus Intl
Arpt, Ser A, AMT
5.50%
01/01/50
3,914,596
2,245,000
Franklin Cnty OH Rev Trinity Hlth Credit Grp OH, Ser A
5.00%
12/01/47
2,257,742
500,000
Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj,
Ser A
5.25%
01/01/38
519,953
500,000
Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj,
Ser A
5.50%
01/01/43
517,932
105,000
Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj
5.25%
01/01/45
107,207
2,125,000
Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj
5.50%
01/01/50
2,167,119
2,500,000
Muskingum Cnty OH Hosp Facs Genesis Hlthcare Sys Proj
5.00%
02/15/44
2,444,607
500,000
OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020
Proj, Ser A
5.00%
12/01/45
493,357
3,000,000
OH St Hsg Fin Agy Mf Hsg Rev Green Oaks of Canal Winchester
Proj, Ser A
6.30%
01/01/45
3,070,118
2,430,000
OH St Hsg Fin Agy Mf Hsg Rev Green Oaks of Grove City
Proj, Ser A (a)
6.13%
01/01/46
2,454,835
2,225,000
OH St Hsg Fin Agy Mf Hsg Rev Green Oaks of Walnut Creek
Proj, Ser A (a) (f)
6.38%
01/01/46
2,224,508
2,000,000
OH St Hsg Fin Agy Mf Hsg Rev Silver Birch of Canton Proj,
Ser A (a)
6.25%
01/01/45
2,074,597
1,250,000
OH St Hsg Fin Agy Mf Hsg Rev Silver Birch of Mason Proj,
Ser A (a)
6.10%
01/01/46
1,274,474
320,000
Port of Gtr Cincinnati Dev Auth OH Rev (a)
3.75%
12/01/31
323,298
See Notes to Financial Statements
Page 15
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Ohio (Continued)
$3,000,000
Port of Gtr Cincinnati Dev Auth OH Tax Incr Fing Rev RBM Phase
3 Garage Proj
5.13%
12/01/55
$2,981,371
2,835,000
Warren Cnty OH Hosp Facs Rev Ref Cmnty First Solutions
Obligated Grp, Ser A
5.00%
05/15/49
2,793,494
 
38,557,049
Oklahoma — 0.8%
2,400,000
OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (h)
7.25%
09/01/51
2,390,305
1,475,000
Sand Springs OK Muni Auth Utils Sys Rev Ref
3.00%
11/01/42
1,182,655
1,165,000
Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc
Proj
5.25%
11/15/37
1,172,345
1,750,000
Tulsa OK Muni Arpt Trust Trustees Ref American Airls Inc Proj,
AMT
6.25%
12/01/35
1,958,053
1,000,000
Tulsa OK Muni Arpt Trust Trustees Ref American Airls Inc Proj,
AMT
6.25%
12/01/40
1,096,101
 
7,799,459
Oregon — 0.9%
750,000
Astoria OR Hosp Facs Auth Columbia Memorial Hosp Proj
5.25%
08/01/49
752,797
1,225,000
Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A
5.13%
11/15/40
1,229,991
3,250,000
Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A
5.38%
11/15/55
3,174,603
1,190,000
Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette
View Proj, Ser A
5.00%
11/15/37
1,197,085
745,000
Salem OR Hosp Fac Auth Rev Capital Manor Proj
5.00%
05/15/38
751,071
840,000
Salem OR Hosp Fac Auth Rev Capital Manor Proj
5.00%
05/15/43
841,600
750,000
Union Cnty OR Hosp Fac Auth Grande Ronde Hosp
5.00%
07/01/42
748,492
 
8,695,639
Pennsylvania — 3.2%
2,280,000
Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network
Obligated Grp Issue, Ser A
5.00%
04/01/47
2,267,438
1,500,000
Allentown PA Comml & Indl Dev Auth Ref Executive Edu Acdmy
Chrt Sch Proj (a)
5.00%
07/01/50
1,388,177
1,250,000
Allentown PA Neighborhood Impt Zone Dev Auth Tax Rev City
Ctr Proj (a)
6.00%
05/01/42
1,358,578
665,000
Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at
Wyomissing, Ser A
5.00%
05/15/42
665,482
600,000
Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at
Wyomissing, Ser A
5.00%
05/15/47
588,499
750,000
Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys Oblig
Grp, Ser A
4.00%
04/01/50
645,829
1,860,000
Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys, Ser A-1
4.00%
02/15/47
1,636,578
1,110,000
Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors
Inc Proj, Ser A
5.00%
06/15/38
1,077,611
2,000,000
Lancaster Cnty PA Hosp Auth Penn St Hlth
5.00%
11/01/51
2,006,827
1,655,000
Montgomery Cnty PA Indl Dev Auth Exempt Facs Rev Var
Constellation Energy Generation LLC Proj Ref, Ser C, AMT
(Mandatory put 04/03/28)
4.45%
10/01/34
1,694,078
1,050,000
Montgomery Cnty PA Indl Dev Auth Ref Foulkeways at Gwynedd
5.00%
12/01/46
1,021,334
1,780,000
PA St Econ Dev Fing Auth Exempt Facs Rev Var Ref Energy
Sply LLC Proj Remk, Ser C (Mandatory put 06/01/27)
5.25%
12/01/37
1,781,332
310,000
PA St Econ Dev Fing Auth Rev PA Bridges Finco LP P3 Proj
5.00%
06/30/42
306,366
1,000,000
PA St Econ Dev Fing Auth Rev Ref Presbyterian Sr Living Prj,
Ser B-2
5.25%
07/01/46
1,020,251
See Notes to Financial Statements
Page 16
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Pennsylvania (Continued)
$500,000
PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Ref Core
Nat Res Inc Proj, AMT (Mandatory put 03/27/35) (a)
5.45%
01/01/51
$540,115
2,000,000
PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot
Major Bridges Package One Proj P3 Proj, AMT
5.75%
06/30/48
2,095,867
3,550,000
PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot
Major Bridges Package One Proj P3 Proj, AMT
5.25%
06/30/53
3,580,861
2,000,000
PA St Hsg Fin Agy Sf Mtge Rev Sustainable Bond, Ser 152A
4.70%
10/01/51
1,970,893
1,000,000
Philadelphia PA Arpt Rev Ref Priv Activity, AG, AMT
4.00%
07/01/38
975,917
1,000,000
Philadelphia PA Arpt Rev Ref, Ser B, AMT
5.00%
07/01/47
1,000,928
950,000
Philadelphia PA Auth for Indl Dev Chrt Sch Rev Mast Chrt Sch
Proj
5.00%
08/01/50
904,445
850,000
Philadelphia PA Auth for Indl Dev Chrt Sch Rev Philadelphia E&T
Chrt High Sch, Ser A
4.00%
06/01/56
630,022
1,700,000
Philadelphia PA Gas Wks Rev Ref 1998 Gen Ordinance
Fifteenth, Ser
5.00%
08/01/42
1,715,611
960,000
Southcentrl PA Gen Auth Rev Ref Wellspan Hlth Obligated
Grp, Ser A
4.00%
06/01/49
837,912
495,000
W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home
Proj, Ser A
4.00%
11/15/41
460,948
 
32,171,899
Puerto Rico — 2.4%
5,750,000
Puerto Rico Cmwlth Aqueduct & Swr Auth Rev Ref Sr Lien,
Ser A (a)
5.00%
07/01/47
5,800,057
2,900,000
Puerto Rico Cmwlth Restructured, Ser A1
4.00%
07/01/33
2,902,020
3,002,265
Puerto Rico Cmwlth Restructured, Ser A1
4.00%
07/01/35
2,977,952
4,358,267
Puerto Rico Cmwlth Restructured, Ser A1
4.00%
07/01/41
4,088,403
250,000
Puerto Rico Indl Tourist Eductnl Med & Envrnmntl Control Fac
San Juan Cruise Terminal Proj, Ser 2023-A-2-P3, AMT
6.50%
01/01/42
278,548
5,866,000
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured
Converted, Ser A-2
4.33%
07/01/40
5,734,033
1,170,000
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured,
Ser A-1
4.55%
07/01/40
1,159,408
1,031,000
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured,
Ser A-2
4.33%
07/01/40
1,007,805
 
23,948,226
Rhode Island — 0.3%
2,500,000
Tobacco Stlmt Fing Corp RI Ref, Ser A
5.00%
06/01/40
2,500,469
South Carolina — 1.1%
285,000
Berkeley Cnty SC Assmnt Rev Nexton Impt Dist
4.00%
11/01/30
282,004
230,000
Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist,
Ser A-1
5.00%
12/01/31
230,143
2,000,000
Lexington Cnty SC Hlth Svcs Dist Lexington Med Ctr
5.00%
11/01/41
2,000,925
1,000,000
SC St Hsg Fin & Dev Auth Mtge Rev, Ser A
4.50%
07/01/46
971,645
1,250,000
SC St Jobs Econ Dev Auth Econ Dev Rev Bishop Gadsden
Episcopal Retmnt Cmnty
5.13%
04/01/46
1,273,437
300,000
SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at
Furman
4.00%
11/15/32
295,566
1,085,000
SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at
Furman
5.25%
11/15/47
1,084,890
250,000
SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at
Furman
5.25%
11/15/52
241,700
See Notes to Financial Statements
Page 17
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
South Carolina (Continued)
$420,000
SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman
Proj, Ser A
5.00%
11/15/54
$388,123
1,000,000
SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg
Proj, Ser A
5.00%
12/01/40
996,777
500,000
SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg
Proj, Ser A
5.50%
12/01/45
510,049
1,000,000
SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg
Proj, Ser A
5.80%
12/01/50
1,014,413
1,000,000
SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp
& S of Broad Hlthcare Proj
5.50%
11/15/44
1,017,616
1,000,000
SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp
& S of Broad Hlthcare Proj
5.75%
11/15/54
999,893
 
11,307,181
South Dakota — 0.2%
1,500,000
SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty
Issue, Ser A
5.00%
09/01/50
1,502,845
Tennessee — 0.7%
1,755,000
Rutherford Cnty TN Hlth & Eductnl Facs Brd Stdt Hsg Rev
Madrone MTSU Stdt Hsg I LLC Proj, Ser A-1, BAM
5.00%
07/01/45
1,775,292
2,000,000
Shelby Cnty TN Hlth Edl & Hsg Fac Brd Stdt Hsg Rev Madrone
Memphis Stdt Hsg I LLC Univ Memphis Proj, Ser A1 (a)
5.00%
06/01/44
1,989,942
2,500,000
TN St Energy Acq Corp Gas Rev Ref, Ser A
5.00%
12/01/35
2,597,886
800,000
TN St Energy Acq Corp Gas Rev Var Ref Gas Proj, Ser A-1
(Mandatory put 05/01/28)
5.00%
05/01/53
818,793
 
7,181,913
Texas — 7.7%
1,000,000
Anna TX Spl Assmnt Rev Sherley Farms Pub Impt Dt Impt Area #1
Proj (a)
5.35%
09/15/46
991,441
1,085,000
Anson TX Edu Facs Corp Edu Rev Arlington Classics Acdmy,
Ser A
5.00%
08/15/45
1,049,015
500,000
Arlington TX Hgr Edu Fin Corp Edu Rev Ref Basis TX Chrt
Schs (a)
5.63%
06/15/45
508,346
1,000,000
Arlington TX Hgr Edu Fin Corp Edu Rev Ref Basis TX Chrt
Schs (a)
5.75%
06/15/55
1,002,721
1,000,000
Aubrey TX Spl Assmnt Ref Jackson Ridge Pub Impt Dt Phase #1 &
#2 Assmnts, BAM
5.00%
09/01/45
1,025,950
2,080,000
Austin TX Arpt Sys Rev, Ser B, AMT
5.00%
11/15/46
2,080,283
600,000
Celina TX Spl Assmnt Rev N Sky Pub Impt Dt Impt Area #2
Proj (f)
5.20%
09/01/46
590,716
1,410,000
Cool Wtr Muni Util Dist TX, Ser A, BAM
5.00%
08/15/45
1,425,424
1,552,000
Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt
Area #1 Proj (a)
4.25%
09/15/41
1,470,223
565,000
Decatur TX Spl Assmnt Rev Paloma Trails Pub Impt Dt Impt Area
#1 Proj (a)
5.50%
09/15/45
573,882
2,395,000
Denton Cnty TX Spl Assmnt Rev Green Meadows Pub Impt Dt
Impt Area #1 Proj (a)
5.38%
12/31/45
2,469,635
3,000,000
Denton Cnty TX Spl Assmnt Rev Sr Lien Tabor Ranch Pub Improv
Dist Improv Area #1, Ser A (a)
5.63%
12/31/54
2,987,226
70,000
E Montgomery Cnty Mun Util Dist No 7 TX, BAM
4.00%
09/01/45
63,470
1,000,000
E Waller Cnty Mgmt Dist TX Spl Assmnt Rev Sofi Lakes Section 1
& 2 Proj (a)
6.00%
09/15/45
1,036,153
See Notes to Financial Statements
Page 18
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Texas (Continued)
$1,000,000
E Waller Cnty Mgmt Dist TX Spl Assmnt Rev Sofi Lakes Section 1
& 2 Proj (a)
6.25%
09/15/55
$1,020,570
1,445,000
Fate TX Spl Assmnt Rev Monterra Pub Impt Dt Impt Area #1
Proj (a)
4.00%
08/15/51
1,164,580
1,000,000
Fate TX Spl Assmnt Rev Monterra Pub Impt Dt Impt Area #2
Proj (a)
5.38%
08/15/44
1,010,916
1,577,000
Ferris TX Spl Assmnt Rev Woodstone Pub Impt Dist No 2 Impt
Area 1 Proj (a)
4.00%
09/01/51
1,283,368
400,000
Galveston TX Wharves & Terminal Rev Wharves & Terminal First
Lien, AMT
5.25%
08/01/37
425,047
250,000
Galveston TX Wharves & Terminal Rev Wharves & Terminal First
Lien, AMT
5.25%
08/01/38
264,237
2,000,000
Harris Cnty TX Hosp Dist Ctfs of Oblig
5.25%
02/15/50
2,103,296
1,025,000
Haslet TX Spl Assmnt Rev Haslet Pub Impt Dist #5 Impt Area
#1 (a)
4.13%
09/01/39
960,491
1,000,000
Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj,
Ser C, AMT
5.00%
07/15/27
1,012,621
2,000,000
Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt
Proj, Ser B, AMT
5.50%
07/15/35
2,153,708
2,260,000
Houston TX Arpt Sys Rev Subord Lien, Ser A, AMT
5.50%
07/01/50
2,375,613
1,460,000
Houston TX Arpt Sys Rev United Airls Inc Terminal E Proj, Ser A,
AMT
4.00%
07/01/41
1,337,373
1,500,000
Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj,
Ser B, AMT
5.50%
07/15/35
1,629,292
1,500,000
Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj,
Ser B, AMT
5.50%
07/15/37
1,609,496
1,065,000
Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj,
Ser B-1, AMT
4.00%
07/15/41
975,403
625,000
Houston TX Hgr Edu Fin Corp Ununiv Rev Houston Christian Univ
Proj
5.13%
10/01/51
592,849
655,000
Hutto TX Spl Assmnt Rev Cottonwood Creek Pub Impt Dt Impt
Area #2 (a)
5.13%
09/01/45
647,832
450,000
Justin TX Spl Assmnt Rev Timberbrook Pub Imp Dt #1 Imp Area
#2 Proj (a)
3.38%
09/01/41
369,047
690,000
Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Area #4 (a)
4.50%
09/01/33
699,111
245,000
Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a)
4.13%
09/01/29
245,537
500,000
Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a)
4.63%
09/01/39
499,383
935,000
Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dt Impt Area #3
Proj (a)
4.00%
09/01/46
798,672
1,400,000
Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dt Impt Area #6 Proj
5.38%
09/01/46
1,399,754
2,400,000
Lakewood Vlg TX Spl Assmnt Rev Lakewood Vlg Pub Impt Dist
No 1 Proj (a)
5.38%
09/15/52
2,379,110
429,000
Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #1
Proj (a)
5.00%
09/15/44
427,858
400,000
Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #1
Proj (a)
5.38%
09/15/52
394,323
600,000
Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #2A-2B
Proj (a)
5.13%
09/15/44
613,321
729,000
Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #2A-2B
Proj (a)
5.50%
09/15/54
730,769
1,000,000
Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1
and 2 Proj (a)
3.38%
09/01/42
832,352
See Notes to Financial Statements
Page 19
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Texas (Continued)
$1,350,000
Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1
and 2 Proj (a)
4.00%
09/01/52
$1,078,069
1,700,000
Little Elm TX Spl Assmnt Rev Lakeside Estates Pub Impt Dist #2
Proj (a)
5.00%
09/01/47
1,702,304
501,000
Lowry Crossing TX Spl Assmnt Rev Simpson Road Pub Impt Dist
Projs (a)
5.75%
09/15/45
516,894
1,000,000
Marble Falls TX Spl Assmnt Rev Thunder Rock Pub Impt Dist Impt
Area #1 Proj (a)
4.13%
09/01/41
908,162
1,000,000
Mesquite TX Spl Assmnt Rev Heartland Twn Ctr Pub Impt Dist
Phase #1 Proj (a)
5.38%
09/01/48
993,740
869,000
Mesquite TX Spl Assmnt Rev Solterra Pub Impt Dt Impt Area C-4
Proj
5.25%
09/01/45
867,312
1,125,000
Mission TX Econ Dev Corp Sol Wst Disp Rev Var Sustainable
Bonds Graphic Packaging Inter LLC Proj, AMT (Mandatory put
06/01/30)
5.00%
12/01/64
1,161,502
655,000
New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref
Brazos Presbyterian Homes Inc Proj
5.38%
01/01/55
659,300
600,000
Newark Hgr Edu Fin Corp TX Edu Rev Hughen Ctr Inc Proj, Ser A
5.00%
08/15/42
624,350
1,100,000
Oak Point TX Spl Assmnt Rev Oak Point 720 Pub Impt DT Impt
Area #1 Proj (a)
5.35%
09/15/44
1,109,510
500,000
Pilot Point TX Spl Assmnt Rev Bryson Ranch Pub Impt Dt Zone A
Impt Area #1 Proj (a)
6.38%
09/15/55
513,218
1,500,000
Port Beaumont TX Nav Dist Dock & Wharf Fac Rev Jefferson Gulf
Coast Energy Proj, Ser A, AMT (a)
5.13%
01/01/44
1,428,771
1,000,000
Princeton TX Spl Assmnt Rev Eastridge Pub Impt DT Impt Area #3
Proj (a)
5.25%
09/01/54
978,252
210,000
Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area No
4 Proj (a)
5.38%
09/01/45
211,947
2,200,000
Princeton TX Spl Assmnt Rev Whitewing Trails Pub Impr Dist #2
Phase 2 Proj Rev (a)
5.13%
09/01/43
2,219,997
2,300,000
Princeton TX Spl Assmnt Rev Winchester Crossing Pub Impt Dt
No 3 Proj (a)
5.38%
09/01/54
2,265,143
1,550,000
Princeton TX Spl Assmnt Rev Winchester Pub Impr Dist #2 Proj (a)
5.13%
09/01/42
1,569,371
1,000,000
Reagan Hosp Dist Reagan Cnty TX
6.00%
08/01/46
1,040,509
215,000
Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp
Dist Major Imp Area Proj (a)
3.75%
09/15/31
201,489
500,000
Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp
Dist Major Imp Area Proj (a)
4.13%
09/15/41
450,904
765,000
Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp
Dist Major Imp Area Proj (a)
4.25%
09/15/51
616,063
2,000,000
San Antonio TX Arpt Sys Rev Ref, AMT
5.50%
07/01/51
2,111,397
2,442,000
San Marcos TX Spl Assmnt Rev Whisper S Pub Imp Dt (a)
4.25%
09/01/42
2,250,615
1,337,000
San Marcos TX Spl Assmnt Rev Whisper S Pub Imp Dt (a)
4.50%
09/01/51
1,158,151
565,000
Santa Fe TX Spl Assmnt Rev Mulberry Farms Pub Impt Dist (a)
4.88%
09/01/42
549,757
1,750,000
TX St Priv Activity Bond Surface Transprtn Corp Rev Ref Sr Lien
Bond Surface Transprtn Corp, AMT
5.50%
06/30/42
1,809,250
530,000
Westpointe Spl Impt Dist TX, BAM
5.00%
08/15/41
544,018
 
76,770,409
U.S. Virgin Islands — 0.1%
1,000,000
Virgin Islands Pub Fin Auth Hotel Occupancy Tax Rev
Frenchman’s Reef Hotel Dev, Ser A (a)
6.00%
04/01/53
1,001,470
See Notes to Financial Statements
Page 20
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Utah — 5.9%
$2,600,000
Arrowhead Springs Pub Infra Dist UT Spl Assmnt Arrowhead
Springs Assmnt Area (a)
5.63%
12/01/54
$2,612,778
1,948,630
Black Desert Pub Infra Dist UT Spl Assmnt Black Desert Assmnt
Area #1 (a)
5.63%
12/01/53
1,974,769
1,500,000
Black Desert Pub Infra Dist UT Sr Bonds, Ser A (a)
4.00%
03/01/51
1,223,219
1,945,000
Downtown Daybreak Pub Infra Dist #1 UT Tax Incr Rev (a)
5.63%
03/01/46
1,969,634
2,187,771
Fields Estates Pub Infra Dist UT Spl Assmnt Fields Estates Assmnt
Area, Ser A-2 (a)
5.25%
12/01/53
2,125,079
3,450,000
Fields Estates Pub Infra Dist UT, Ser A-1 (a)
6.13%
03/01/55
3,462,942
1,000,000
Firefly Pub Infra Dist #1 UT, Ser A-1 (a)
6.63%
03/01/54
1,019,735
2,000,000
Jordanelle Ridge Pub Infra Dist #2 UT, Ser A (a)
7.75%
03/01/54
2,120,235
750,000
Lomond Heights Pub Infra Dist UT Spl Assmnt Lomond Heights
Assmnt Area, Ser A-2
5.63%
12/01/55
744,516
1,000,000
Lomond Heights Pub Infra Dist UT, Ser A-1
5.88%
03/01/57
992,695
2,000,000
Mida Cormont Pub Infra Dist UT Conv, Ser A-2, CABS, steps up to
6.75% on 06/01/29 (a) (g)
0.00%
06/01/55
1,750,950
1,115,000
Mida Cormont Pub Infra Dist UT, Ser A-1 (a)
6.25%
06/01/55
1,167,710
2,000,000
Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a)
4.63%
06/01/57
1,614,564
1,000,000
Mida Mountain Vlg Pub Infra Dist UT Tax Allocation, Ser 1 (a)
5.50%
06/01/50
1,011,686
3,000,000
Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2
4.00%
06/01/52
2,465,888
1,485,000
Olympia Pub Infra Dist #1 UT, Ser A-1 (a)
6.38%
03/01/55
1,521,710
1,335,000
Panorama Pub Infra Dist #1 UT Ser A (a)
6.25%
03/01/55
1,343,160
1,500,000
Pine View Pub Infra Dist #2 UT Spl Assmnt Firelight Assmnt Area
No. 1 (a)
6.25%
12/01/55
1,513,774
3,000,000
Resort Core Pub Infra Dist #1 UT Sr Bonds Conv, Ser A-2, CABS,
steps up to 5.88% on 03/01/31 (g)
0.00%
03/01/46
2,357,198
2,500,000
Resort Core Pub Infra Dist #1 UT Sr Bonds, Ser A-1
5.38%
03/01/46
2,485,495
750,000
Resort Core Pub Infra Dist #1 UT Sr Bonds, Ser A-1
5.88%
03/01/57
759,133
2,730,000
S Salt Lake UT Redev Agy Tax Increment Rev (a)
6.25%
04/15/46
2,778,808
2,930,000
Salt Lake City UT Arpt Rev, Ser A, AMT
5.25%
07/01/48
3,005,030
2,000,000
Soleil Hills Pub Infra Dist #1 UT, Ser A (a)
5.88%
03/01/55
2,000,059
500,000
UT City W Pub Infra Dist #1 UT Spl Assmnt UT City W Assmnt
Area No 1 (a)
5.50%
12/01/46
506,014
1,300,000
UT City W Pub Infra Dist #1 UT Spl Assmnt UT City W Assmnt
Area No 1 (a)
5.88%
12/01/55
1,316,060
475,000
UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori
Acdmy Proj, Ser A (a)
5.00%
06/15/39
450,923
1,705,000
UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Ronald Wilson Reagan
Acdmy Proj, Ser A (a)
5.00%
02/15/46
1,485,994
675,000
UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy
Proj, Ser A (a)
5.00%
06/15/39
644,967
3,010,000
UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner
Acdmy, Ser A (a)
5.63%
06/15/42
3,014,405
1,500,000
Verk Indl Regl Pub Infra Dist UT Tax (a)
6.63%
09/01/47
1,584,497
2,700,000
Wakara Ridge Pub Infra Dist UT Spl Assmnt Wakara Ridge
Assmnt Area (a)
5.63%
12/01/54
2,747,350
2,921,753
Wood Ranch Pub Infra Dist UT Spl Assmnt Wood Ranch Assmnt
Area No 1 (a)
5.63%
12/01/53
2,930,940
 
58,701,917
See Notes to Financial Statements
Page 21
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Vermont — 0.1%
$260,000
VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A
4.00%
05/01/37
$248,099
1,000,000
VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Wst Sys Inc
Remk, AMT (Mandatory put 04/03/28) (a)
4.63%
04/01/36
1,009,800
 
1,257,899
Virginia — 1.9%
3,000,000
Hanover Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Covenant
Woods
5.00%
07/01/51
2,903,755
1,060,000
Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Lifespire
of VA, Ser C
5.00%
12/01/37
1,070,694
880,000
Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Lifespire
of VA, Ser C
5.00%
12/01/47
880,912
2,500,000
Powhatan Cnty VA Econ Dev Auth Grant Rev Chesterfield Hotel
Proj, Ser A (a)
6.13%
09/01/60
2,501,686
940,000
Roanoke VA Econ Dev Auth Hosp Rev Ref Carilion Clinic Oblig
Grp, Ser A
3.00%
07/01/45
716,112
500,000
Salem VA Econ Dev Auth Eductnl Facs Rev Roanoke Clg
6.00%
04/01/55
520,088
2,500,000
VA Small Busn Fing Auth Priv Activity Rev Sr Transform 66 P3
Proj, AMT
5.00%
12/31/47
2,505,392
1,000,000
VA St Small Busn Fing Auth Rev Ref Sr Lien 95 Express
Lanes LLC Proj, AMT
5.00%
01/01/38
1,030,468
750,000
VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of
VA
4.00%
12/01/31
760,831
3,000,000
VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of
VA, Ser A
5.50%
12/01/54
3,073,497
1,000,000
Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster
Canterbury on Chesapeake Bay
5.00%
09/01/29
1,020,271
2,000,000
Virginia Beach VA Dev Auth Rsdl Care Fac Rev Westminster
Canterbury on Chesapeake Bay, Ser A
7.00%
09/01/53
2,184,007
 
19,167,713
Washington — 1.7%
3,000,000
King Cnty WA Hsg Auth Bellevue Manor and Abbey Ridge Projs
3.00%
08/01/40
2,480,698
1,000,000
Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C,
AMT
5.00%
08/01/39
1,034,284
2,000,000
Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C,
AMT
5.00%
08/01/46
2,027,453
1,950,000
Skagit Cnty WA Pub Hosp Dist #1
5.50%
12/01/54
1,965,026
975,000
WA St Convention Ctr Pub Facs Dist Sub
5.00%
07/01/48
957,926
875,000
WA St Hgr Edu Facs Auth Seattle Univ Proj Rev
4.00%
05/01/45
784,165
1,000,000
WA St Hsg Fin Commn Nonprofit Hsg Rev Heron’s Key Phase II
Proj, Ser A
5.25%
07/01/51
1,027,051
1,500,000
WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights
Proj, Ser A
5.00%
07/01/43
1,543,204
1,200,000
WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights
Proj, Ser A
5.00%
07/01/48
1,213,792
1,000,000
WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Horizon House
Proj, Ser A
6.00%
01/01/46
1,031,409
1,000,000
WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Horizon House
Proj, Ser A
6.25%
01/01/56
1,024,433
See Notes to Financial Statements
Page 22
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Washington (Continued)
$500,000
WA St Hsg Fin Commn Nonprofit Rev Radford Court & Nordheim
Court Portfolio
5.50%
07/01/49
$501,587
907,844
WA St Hsg Fin Commn Sustainable Ctf, Ser A-1, Class A
3.50%
12/20/35
858,775
 
16,449,803
West Virginia — 0.3%
555,000
Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ
Twn Centre, Ser A (a)
5.00%
06/01/33
575,495
440,000
Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ
Twn Centre, Ser A (a)
5.75%
06/01/43
468,133
1,000,000
WV St Econ Dev Auth Sol Wst Disp Facs Var Ref Core Nat Res
Inc Proj, AMT (Mandatory put 03/27/35) (a)
5.45%
01/01/55
1,079,381
1,050,000
WV St Hosp Fin Auth Vandalia Hlth Grp, Ser B, AG
5.50%
09/01/48
1,102,660
 
3,225,669
Wisconsin — 5.4%
925,000
Pub Fin Auth WI Chrt Sch Rev American Preparatory Acdmy Las
Vegas 2 Proj, Ser A (a)
5.00%
07/15/39
881,216
1,600,000
Pub Fin Auth WI Chrt Sch Rev American Preparatory Acdmy Las
Vegas 2 Proj, Ser A (a)
5.00%
07/15/54
1,388,335
575,000
Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a)
4.00%
06/15/30
567,601
810,000
Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a)
5.00%
06/15/40
792,862
685,000
Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a)
5.00%
06/15/54
622,063
275,000
Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas
Proj, Ser A (a)
4.00%
07/01/30
269,237
300,000
Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas
Proj, Ser A (a)
6.38%
07/01/43
311,277
1,300,000
Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas
Proj, Ser A (a)
5.00%
07/01/55
1,106,666
550,000
Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas
Proj, Ser A (a)
6.75%
07/01/58
567,182
135,000
Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las
Vegas Proj, Ser A (a)
4.20%
07/15/27
134,723
375,000
Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las
Vegas Proj, Ser A (a)
5.13%
07/15/37
369,722
1,250,000
Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las
Vegas Proj, Ser A (a)
5.38%
07/15/52
1,148,746
1,000,000
Pub Fin Auth WI Chrt Sch Rev Ref N E Carolina Preparatory
Sch, Ser A
5.25%
06/15/54
970,036
2,000,000
Pub Fin Auth WI Edu Rev Bonnie Cone Classical Acdmy Inc (h)
5.50%
06/15/49
1,583,199
1,000,000
Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A
5.00%
07/01/43
966,241
1,590,000
Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A
5.00%
07/01/45
1,544,830
500,000
Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd
5.00%
07/01/37
499,986
200,000
Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd
5.00%
07/01/52
180,511
400,000
Pub Fin Auth WI Edu Rev Ref Pinecrest Acdmy NV Sloan Canyon
Cmps Proj, Ser A (a)
4.50%
07/15/49
353,562
1,200,000
Pub Fin Auth WI Edu Rev Ref Triad Eductnl Svcs Inc
5.25%
06/15/45
1,184,332
1,000,000
Pub Fin Auth WI Edu Rev Revolution Acdmy (a)
5.50%
10/01/46
972,198
600,000
Pub Fin Auth WI Edu Rev Revolution Acdmy (a)
6.00%
10/01/56
594,627
850,000
Pub Fin Auth WI Edu Rev Slam Acdmy of NV Proj, Ser A (a)
5.00%
07/15/46
817,333
1,325,000
Pub Fin Auth WI Edu Rev Slam Acdmy of NV Proj, Ser A (a)
5.50%
07/15/56
1,271,725
1,140,000
Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc
5.00%
06/15/42
1,109,474
1,175,000
Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc, Ser A
4.00%
06/15/41
1,013,266
See Notes to Financial Statements
Page 23
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Wisconsin (Continued)
$1,500,000
Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (a)
4.00%
12/01/41
$1,310,837
1,000,000
Pub Fin Auth WI Hotel Rev Sr Lien Grand Hyatt San Antonio
Hotel Acq Proj, Ser A
5.00%
02/01/42
1,012,155
1,335,000
Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc
Oblig Grp, Ser A
5.00%
11/15/41
1,358,436
1,750,000
Pub Fin Auth WI Retmnt Cmntys Rev Ref Evergreens Retmnt
Cmnty, Ser A
5.00%
11/15/49
1,740,224
685,000
Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt
Homes, Ser A
4.00%
10/01/46
622,625
315,000
Pub Fin Auth WI Retmnt Fac Rev Southminster (a)
5.00%
10/01/43
311,185
1,510,000
Pub Fin Auth WI Retmnt Fac Rev Southminster (a)
5.00%
10/01/48
1,438,419
2,905,000
Pub Fin Auth WI Rev Anthem Freedom Proj, CABS (a)
(c)
12/15/37
1,435,223
1,326,000
Pub Fin Auth WI Rev Cole Ranch Proj, CABS (a)
(c)
12/15/40
449,441
3,064,000
Pub Fin Auth WI Rev Creekhaven Wildrye and Furst Ranch Projs,
CABS (a)
(c)
12/15/36
1,562,895
1,200,000
Pub Fin Auth WI Rev Double L Ranch Proj, CABS, RANS (a)
(c)
12/15/35
603,595
1,125,000
Pub Fin Auth WI Rev Ref Kahala Nui Proj
5.25%
11/15/50
1,147,747
2,000,000
Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (e) (h)
6.85%
01/01/51
1,000,000
500,000
Pub Fin Auth WI Spl Fac Rev Ref Million Air Two LLC General
Aviation Facs Proj, Ser A, AMT (a) (f)
5.00%
06/01/41
484,528
500,000
Pub Fin Auth WI Spl Fac Rev Ref Million Air Two LLC General
Aviation Facs Proj, Ser A, AMT (a) (f)
5.38%
06/01/46
496,155
1,215,000
Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst
Proj, Ser A (a)
5.00%
05/15/31
1,219,965
1,275,000
Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst
Proj, Ser A (a)
5.00%
05/15/32
1,279,722
1,225,000
Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst
Proj, Ser A (a)
5.25%
05/15/47
1,221,718
2,000,000
Pub Fin Auth WI Stdt Hsg Rev NC A&T Real Estate Fdtn LLC
Proj, Ser A
5.00%
06/01/49
1,923,699
1,900,000
Pub Fin Auth WI Stdt Hsg Rev NC A&T Real Estate Fdtn LLC
Proj, Ser B
5.00%
06/01/44
1,876,940
750,000
Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate
Fdtn LLC Proj, Ser A
5.25%
06/15/50
771,508
3,410,000
Pub Fin Auth WI Tax Incr Rev Miami Worldcenter Proj, Ser A (a)
5.00%
06/01/41
3,438,168
2,750,000
Pub Fin Auth WI Toll Rev Sr GA Sr 400 Express Lanes Proj, AMT
5.75%
06/30/60
2,845,833
1,000,000
Pub Fin Auth WI Toll Rev Sr GA Sr 400 Express Lanes Proj, AMT
6.50%
06/30/60
1,095,101
1,000,000
WI Hlth Edl Facs Auth Sr Living Rev Chiara Hsg and Svcs Inc Proj
5.88%
07/01/55
1,001,464
950,000
WI St Hlth & Eductnl Facs Auth Rev Ref Benevolent Corp Cedar
Cmnty
5.38%
06/01/50
947,880
 
53,816,413
Wyoming — 0.1%
1,490,000
Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj
3.00%
05/01/42
1,227,570
Total Investments — 98.8%
982,563,524
(Cost $979,486,616)
Net Other Assets and Liabilities — 1.2%
11,543,530
Net Assets — 100.0%
$994,107,054
 
See Notes to Financial Statements
Page 24
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2026
(a)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in
periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and
assumptions, which require subjective judgment. At July 31, 2026, securities noted as such amounted to $332,867,987 or 33.5%
of net assets.
(b)
Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.
(c)
Zero coupon security.
(d)
Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor.
(e)
This issuer is in default and interest is not being accrued by the Fund.
(f)
When-issued security. The interest rate shown reflects the rate in effect at July 31, 2026. Interest will begin accruing on the
security’s first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial
Statements).
(g)
Step-up security. A security where the coupon increases or steps up at a predetermined date.
(h)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers
(see Note 2D - Restricted Securities in the Notes to Financial Statements).
 
Abbreviations throughout the Portfolio of Investments:
AG
–  Assured Guaranty, Inc.
AMT
–  Alternative Minimum Tax
BAM
–  Build America Mutual
CABS
–  Capital Appreciation Bonds
COPS
–  Certificates of Participation
RANS
–  Revenue Anticipation Notes
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Municipal Bonds*
$982,563,524
$—
$982,563,524
$—
 
*
See Portfolio of Investments for state and territory breakout.
See Notes to Financial Statements
Page 25
First Trust Municipal High Income ETF (FMHI)
Statement of Assets and Liabilities
July 31, 2026
 
ASSETS:
Investments, at value
$982,563,524
Cash
4,155,391
Receivables:
Interest
10,862,596
Investment securities sold
3,864,134
Total Assets
1,001,445,645
 
LIABILITIES:
Payables:
Investment securities purchased
6,924,475
Investment advisory fees
414,116
Total Liabilities
7,338,591
NET ASSETS
$994,107,054
 
NET ASSETS consist of:
Paid-in capital
$1,037,946,753
Par value
209,000
Accumulated distributable earnings (loss)
(44,048,699
)
NET ASSETS
$994,107,054
NET ASSET VALUE, per share
$47.56
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)
20,900,002
Investments, at cost
$979,486,616
See Notes to Financial Statements
Page 26
First Trust Municipal High Income ETF (FMHI)
Statement of Operations
For the Year Ended July 31, 2026
 
INVESTMENT INCOME:
Interest
$44,204,437
Total investment income
44,204,437
 
EXPENSES:
Investment advisory fees
5,238,602
 
Other expenses
56,665
Total expenses
5,295,267
Less fees waived by the investment advisor
(158,729
)
Net expenses
5,136,538
NET INVESTMENT INCOME (LOSS)
39,067,899
 
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments
(3,036,662
)
Futures contracts
(739,722
)
Net realized gain (loss)
(3,776,384
)
Net change in unrealized appreciation (depreciation) on:
Investments
24,377,300
Futures contracts
128,922
Net change in unrealized appreciation (depreciation)
24,506,222
NET REALIZED AND UNREALIZED GAIN (LOSS)
20,729,838
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
$59,797,737
See Notes to Financial Statements
Page 27
First Trust Municipal High Income ETF (FMHI)
Statements of Changes in Net Assets
 
 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
OPERATIONS:
Net investment income (loss)
$39,067,899
$30,798,624
Net realized gain (loss)
(3,776,384
)
(7,831,696
)
Net change in unrealized appreciation (depreciation)
24,506,222
(34,184,770
)
Net increase (decrease) in net assets resulting from operations
59,797,737
(11,217,842
)
 
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations
(38,448,867
)
(30,170,595
)
Return of capital
(408,337
)
(431,009
)
Total distributions to shareholders
(38,857,204
)
(30,601,604
)
 
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold
256,026,952
 
241,482,554
 
Cost of shares redeemed
(26,056,137
) 
(101,676,769
) 
Net increase (decrease) in net assets resulting from shareholder transactions
229,970,815
139,805,785
Total increase (decrease) in net assets
250,911,348
97,986,339
 
NET ASSETS:
Beginning of period
743,195,706
645,209,367
End of period
$994,107,054
$743,195,706
 
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period
16,100,002
13,250,002
Shares sold
5,350,000
5,000,000
Shares redeemed
(550,000
)
(2,150,000
)
Shares outstanding, end of period
20,900,002
16,100,002
See Notes to Financial Statements
Page 28
First Trust Municipal High Income ETF (FMHI)
Financial Highlights
For a share outstanding throughout each period
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$46.16
$48.70
$47.05
$49.12
$56.69
Income from investment operations:
Net investment income (loss)
2.10
 (a)
1.98
 (a)
1.94
 (a)
1.82
 (a)
1.50
 
Net realized and unrealized gain (loss)
1.37
 
(2.55
) 
1.62
 
(2.08
) 
(7.50
) 
Total from investment operations
3.47
 
(0.57
) 
3.56
 
(0.26
) 
(6.00
) 
Distributions paid to shareholders from:
Net investment income
(2.05
) 
(1.94
) 
(1.89
) 
(1.78
) 
(1.49
) 
Return of capital
(0.02
) 
(0.03
) 
(0.02
) 
(0.03
) 
(0.08
) 
Total distributions
(2.07
) 
(1.97
) 
(1.91
) 
(1.81
) 
(1.57
) 
Net asset value, end of period
$47.56
 
$46.16
 
$48.70
 
$47.05
 
$49.12
 
Total return (b)
7.59
% 
(1.26
)% 
7.77
% 
(0.44
)% 
(10.74
)% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$994,107
 
$743,196
 
$645,209
 
$409,328
 
$338,955
 
Ratio of total expenses to average net assets
0.59
% 
0.70
% 
0.70
% 
0.70
% 
0.70
% 
Ratio of net expenses to average net assets
0.58
% 
0.70
% 
0.70
% 
0.65
% 
0.55
% 
Ratio of net investment income (loss) to average net assets
4.39
% 
4.14
% 
4.11
% 
3.88
% 
2.87
% 
Portfolio turnover rate (c)
18
% 
38
% 
22
% 
69
% 
79
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during
certain periods if certain fees had not been waived by the investment advisor.
(c)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 29
Notes to Financial Statements
First Trust Municipal High Income ETF (FMHI)
July 31, 2026

1. Organization
First Trust Exchange-Traded Fund III (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
This report covers the First Trust Municipal High Income ETF (the “Fund”), a diversified series of the Trust, which trades under the ticker “FMHI” on Nasdaq, Inc. The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.”
The Fund is an actively managed exchange-traded fund. The primary investment objective of the Fund is to provide federally tax-exempt income, and its secondary objective is long-term capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes. There can be no assurance that the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.
2. Significant Accounting Policies
The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
The Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities are priced using data reflecting the earlier closing of the principal markets for those securities. The Fund’s NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:
Municipal securities and other debt securities are fair valued on the basis of fair valuations provided by a third-party pricing service approved by the Advisor’s Pricing Committee, which may use the following valuation inputs when available:
 1)
benchmark yields;
 2)
reported trades;
 3)
broker/dealer quotes;
 4)
issuer spreads;
 5)
benchmark securities;
 6)
bids and offers; and
 7)
reference data including market research publications.
Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.
Page 30
Notes to Financial Statements (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026
Exchange-traded futures contracts are valued at the end of the day settlement price.
Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor’s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:
 1)
the credit conditions in the relevant market and changes thereto;
 2)
the liquidity conditions in the relevant market and changes thereto;
 3)
the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
 4)
issuer-specific conditions (such as significant credit deterioration); and
 5)
any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended (the “1933 Act”)) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
 1)
the most recent price provided by a pricing service;
 2)
available market prices for the fixed-income security;
 3)
the fundamental business data relating to the issuer;
 4)
an evaluation of the forces which influence the market in which these securities are purchased and sold;
 5)
the type, size and cost of the security;
 6)
the financial statements of the issuer;
 7)
the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis;
 8)
the information as to any transactions in or offers for the security;
 9)
the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;
10)
the coupon payments;
11)
the quality, value and salability of collateral, if any, securing the security; and
12)
other relevant factors.
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
•  Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•  Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o  Quoted prices for similar investments in active markets.
o  Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o  Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
Page 31
Notes to Financial Statements (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026
o  Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
•  Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of July 31, 2026, is included with the Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.
Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At July 31, 2026, the Fund held $4,796,660 of when-issued or delayed-delivery securities. At July 31, 2026, the Fund had no forward purchase commitments.
C. Futures Contracts
The Fund may purchase or sell (i.e., is long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Fund is not able to enter into an offsetting transaction, the Fund will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in “Net realized gain (loss) on futures contracts” on the Statement of Operations.
Upon entering into a futures contract, the Fund must deposit funds, called margin, with its custodian in the name of the clearing broker equal to a specified percentage of the current value of the contract. Open futures contracts are marked-to-market daily with the change in value recognized as a component of “Net change in unrealized appreciation (depreciation) on futures contracts” on the Statement of Operations. This daily fluctuation in the value of the contract is also known as variation margin and is included in “Variation margin” payable or receivable on the Statement of Assets and Liabilities.
If market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price of the futures contracts, interest rates and the underlying instruments. The Fund did not hold any futures contracts at July 31, 2026.
D. Restricted Securities
The Fund invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of July 31, 2026, the Fund held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Trust’s Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. The Fund does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security.
 
Security
Acquisition
Date
Principal
Value
Current
Price
Carrying
Cost
Value
% of
Net Assets
OK St Dev Fin Auth Sr OK Proton
Ctr, Ser A1, 7.25%, 09/01/51
02/12/21 -
06/04/21
$2,400,000
$99.60
$2,435,514
$2,390,305
0.24
%
Page 32
Notes to Financial Statements (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026
Security
Acquisition
Date
Principal
Value
Current
Price
Carrying
Cost
Value
% of
Net Assets
Polk Cnty FL Indl Dev Auth Mineral
Dev LLC Secondary Phosphate
Tailings Recovery Proj, 5.88%,
01/01/33
10/23/20
$1,000,000
$20.00
$1,000,000
$200,000
0.02
%
Pub Fin Auth WI Edu Rev Bonnie
Cone Classical Acdmy Inc,
5.50%, 06/15/49
10/24/24
2,000,000
79.16
1,981,882
1,583,199
0.16
Pub Fin Auth WI Rev Sr Proton Intl
AR LLC, Ser A, 6.85%, 01/01/51
12/17/21
2,000,000
50.00
1,964,769
1,000,000
0.10
 
$7,382,165
$5,173,504
0.52
%
E. Dividends and Distributions to Shareholders
Dividends from net investment income of the Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually. The Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid during the fiscal years ended July 31, 2026 and 2025 was as follows:
 
Distributions paid from:
2026
2025
Ordinary income
$90,686
$66,149
Capital gains
—
—
Tax-exempt income
38,358,181
30,104,446
Return of capital
408,337
431,009
As of July 31, 2026, the components of distributable earnings on a tax basis for the Fund were as follows:
 
Undistributed ordinary income
$(237,647
)
Accumulated capital and other gain (loss)
(48,654,899
)
Net unrealized appreciation (depreciation)
4,843,847
F. Income Taxes
The Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
In addition, the Fund intends to invest in municipal securities to allow it to pay shareholders “exempt dividends” as defined in the Code.
The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2023, 2024, 2025, and 2026 remain open to federal and state audit. As of July 31, 2026, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions.
The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain
Page 33
Notes to Financial Statements (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026
limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2026, for federal income tax purposes, the Fund had $48,654,899 of non-expiring capital loss carryforwards available, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to the Fund’s shareholders.
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2026, the Fund had no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Fund. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2026, the adjustments for the Fund were as follows:
 
Accumulated
Net Investment
Income (Loss)
Accumulated
Net Realized
Gain (Loss)
on Investments
Paid-In
Capital
$(56,730
)
$56,730
$—
As of July 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:
 
Tax Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
(Depreciation)
Net Unrealized
Appreciation
(Depreciation)
$977,719,677
$19,468,778
$(14,624,931
)
$4,843,847
G. Expenses
Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3).
H. Segment Reporting
An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of the Fund. The Fund operates as a single operating segment. The Fund’s income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of the Fund, using the information presented in the financial statements and financial highlights.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in the Fund’s portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.
Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Fund’s assets and is responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit, and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees
Page 34
Notes to Financial Statements (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026
and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. Effective February 1, 2026, the Board of Trustees (the “Board”) approved a permanent contractual reduction of the annual unitary management fee for the Fund to 0.49% of average daily net assets. In connection with the adoption of the reduced annual unitary management fee, the Board also approved, effective February 1, 2026, the termination of the temporary fee waiver for the Fund that was put in place on January 1, 2026 (described below). Additionally, under the Fund’s new fee structure, the Fund is no longer eligible for any breakpoint discounts described in the Fund’s prospectus or statement of additional information.
Prior to February 1, 2026, the annual unitary management fee payable by the Fund to First Trust for these services was reduced at certain levels of the Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedule:
 
Breakpoints
 
Fund net assets up to and including $2.5 billion
0.7000
%
Fund net assets greater than $2.5 billion up to and including $5 billion
0.6825
%
Fund net assets greater than $5 billion up to and including $7.5 billion
0.6650
%
Fund net assets greater than $7.5 billion up to and including $10 billion
0.6475
%
Fund net assets greater than $10 billion
0.6300
%
From January 1, 2026 to January 31, 2026, the Advisor waived management fees of 0.21% of the Fund’s average daily net assets. During any period in which such waiver was in effect, the Fund was not eligible for any breakpoint discounts. During the fiscal year ended July 31, 2026, the Advisor waived fees of $158,729.
The Trust has multiple service agreements with The Bank of New York Mellon (“BNY”). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BNY is responsible for custody of the Fund’s assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of the Fund’s securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for the Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.
Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Purchases and Sales of Securities
For the fiscal year ended July 31, 2026, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $378,065,180 and $157,861,733, respectively.
For the fiscal year ended July 31, 2026, the Fund had no in-kind transactions.
5. Borrowings
The Trust, on behalf of the Fund, along with First Trust Exchange-Traded Fund IV, First Trust Series Fund and First Trust Variable Insurance Trust, has a credit agreement with BNY (the “Credit Agreement”) as administrative agent for a group of lenders. The borrowing rate is the higher of the federal funds effective rate and the adjusted daily simple SOFR rate plus 1.00%. The commitment amount under the Credit Agreement is $620 million and such commitment amount may be increased up to $700 million with the consent of one or more lenders. BNY charges on behalf of the lenders a commitment fee of 0.15% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans and an agency fee. The commitment fee and agency fee are allocated amongst the funds that have access to the credit line pursuant to procedures approved by the Board of Trustees. To the
Page 35
Notes to Financial Statements (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026
extent that the Fund accesses the credit line, there would also be an interest fee charged. The Fund did not draw on the credit line during the fiscal year ended July 31, 2026.
6. Derivative Transactions
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended July 31, 2026, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments.
 
Statement of Operations Location
Interest Rate Risk Exposure
Net realized gain (loss) on futures contracts
$(739,722
)
Net change in unrealized appreciation
(depreciation) on futures contracts
128,922
The average notional value of futures contracts outstanding during the fiscal year ended July 31, 2026, which is indicative of the volume of this derivative type, was $6,006,941.
The Fund does not have the right to offset financial assets and financial liabilities related to futures contracts on the Statement of Assets and Liabilities.
7. Creations, Redemptions and Transaction Fees
The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with the Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in Creation Units. Prior to the start of trading on every business day, the Fund publishes through the National Securities Clearing Corporation the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of the Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of the Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in the Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund’s shares at or close to the NAV per share of the Fund.
The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
8. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust
Page 36
Notes to Financial Statements (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026
Portfolios L.P. (“FTP”), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.
9. Indemnification
The Trust, on behalf of the Fund, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
10. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
Page 37
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund III:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of First Trust Municipal High Income ETF (the “Fund”), one of the funds constituting the First Trust Exchange-Traded Fund III, as of July 31, 2026, the related statement of operations for the year then ended, statement of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements and financial highlights”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2026, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 23, 2026
We have served as the auditor of one or more First Trust investment companies since 2001.
Page 38
Other Information
First Trust Municipal High Income ETF (FMHI)
July 31, 2026 (Unaudited)

Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)
There were no changes in or disagreements with the Fund’s accountants during the fiscal year ended July 31, 2026.
Proxy Disclosures (Item 9 of Form N-CSR)
At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the “Trust”) that was held on August 12, 2025 (the “Special Meeting”), shareholders of record as of June 9, 2025 (the “Record Date”) approved a proposal (the “Proposal”) to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the “Board”). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a “fund”) voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.
 
James A. Bowen*
Votes For
Votes Withheld
448,229,817
1,692,488
Thomas J. Driscoll**
Votes For
Votes Withheld
448,104,659
1,817,646
Richard E. Erickson*
Votes For
Votes Withheld
447,812,453
2,109,852
Thomas R. Kadlec*
Votes For
Votes Withheld
446,751,895
3,170,410
Denise M. Keefe***
Votes For
Votes Withheld
448,425,408
1,496,897
Robert F. Keith*
Votes For
Votes Withheld
447,967,349
1,954,956
Niel B. Nielson*
Votes For
Votes Withheld
447,968,834
1,953,471
Bronwyn Wright***
Votes For
Votes Withheld
200,751,188
249,171,117
 
*
This nominee was re-elected to the Board at the Special Meeting.
**
This nominee was elected to the Board as a new Trustee at the Special Meeting.
***
This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.
Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)
Independent Trustees of the Fund are compensated through the unitary management fee paid by the Fund to the advisor and not directly by the Fund. The investment advisory fee paid is included in the Statement of Operations.
Statement Regarding the Basis for the Board’s Approval of Investment Advisory Contract (Item 11 of Form N-CSR)
The Board of Trustees of First Trust Exchange-Traded Fund III (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”) on behalf of the First Trust Municipal High Income ETF (the “Fund”). The Board approved the continuation of the Agreement for a one-year period ending June 30, 2027 at a meeting held on June 7–8, 2026. The Board determined that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.
Page 39
Other Information (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026 (Unaudited)
To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 13, 2026 and June 7–8, 2026, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by the Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 13, 2026, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 7–8, 2026 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from the Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor manages the Fund and knowing the Fund’s unitary fee.
In reviewing the Agreement, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the Fund, as well as the background and experience of the persons responsible for such services. The Board noted that the Fund is an actively-managed ETF and noted that the Advisor’s Municipal Securities Team is responsible for the day-to-day management of the Fund’s investments. The Board considered the background and experience of the members of the Municipal Securities Team and noted the Board’s prior meetings with members of the Team. The Board considered the Advisor’s statement that it applies the same oversight model internally with its Municipal Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and the Fund’s compliance with the 1940 Act, as well as the Fund’s compliance with its investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 13, 2026 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and the Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed the Fund consistent with its investment objectives, policies and restrictions.
The Board considered the unitary fee rate schedule payable by the Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because the Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. The Board noted that, effective February 1, 2026, the Fund’s unitary fee rate was reduced to an annual rate of 0.49% of the Fund’s average daily net assets. Based on
Page 40
Other Information (Continued)
First Trust Municipal High Income ETF (FMHI)
July 31, 2026 (Unaudited)
the information provided, the Board noted that the total (net) expense ratio for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Fund and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedule overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to the Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. The Board also received and reviewed information comparing the Fund’s performance for periods ended December 31, 2025 to the performance of the funds in the Performance Universe and to that of a benchmark index.
On the basis of all the information provided on the unitary fee and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for the Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund at current asset levels and whether the Fund may benefit from any economies of scale. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Fund will increase during the next twelve months as the Advisor continues to build infrastructure, including technology, and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Fund. The Board concluded that the unitary fee rate schedule for the Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2025 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP the exposure of their products to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Fund. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.
Federal Tax Information
For the taxable year ended July 31, 2026, the following distribution information is being provided as required by the Internal Revenue Code of 1986, as amended, or to meet a specific state’s requirement. The Fund designates the following percentages or, if subsequently determined to be different, the maximum amount allowable for its fiscal year ended July 31, 2026:
 
Federal and State Income Tax
Percentages
Tax-Exempt Interest Dividends
99.77
%
Alternative Minimum Tax (AMT)
15.36
%
Page 41
 
 
 
Annual Financial
Statements and
Other Information
For the Year Ended
July 31, 2026
 
First Trust Exchange-Traded Fund III
 
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
First Trust Horizon Managed Volatility Developed International
ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Table of Contents 
First Trust Exchange-Traded Fund III
Annual Financial Statements and Other Information
July 31, 2026 
Performance and Risk Disclosure
There is no assurance that any series of First Trust Exchange-Traded Fund III (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, as the “Funds”) will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
First Trust Advisors L.P., the Funds’ advisor, may also periodically provide additional information on Fund performance on each Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data that provides insight into each Fund’s performance and investment approach.
The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
Portfolio of Investments
July 31, 2026
 
Shares
Description
Value
COMMON STOCKS — 99.7%
Aerospace & Defense — 0.9%
1,569
General Dynamics Corp.
$601,586
907
Honeywell Aerospace, Inc. (a)
187,513
 
789,099
Beverages — 2.8%
20,824
Coca-Cola (The) Co.
1,823,974
3,636
PepsiCo, Inc.
507,440
 
2,331,414
Capital Markets — 2.5%
2,304
Cboe Global Markets, Inc.
714,770
3,239
CME Group, Inc.
867,372
3,205
Intercontinental Exchange, Inc.
488,698
 
2,070,840
Chemicals — 2.9%
4,504
Corteva, Inc.
354,510
2,556
Ecolab, Inc.
709,622
1,965
Linde PLC
940,017
1,242
Sherwin-Williams (The) Co.
423,336
 
2,427,485
Commercial Services &
Supplies — 4.8%
4,238
Cintas Corp.
867,222
6,379
Republic Services, Inc.
1,343,098
7,297
Rollins, Inc.
277,067
5,465
Veralto Corp.
514,639
4,745
Waste Management, Inc.
1,074,980
 
4,077,006
Communications Equipment
— 5.6%
24,796
Cisco Systems, Inc.
2,876,088
4,222
Motorola Solutions, Inc.
1,839,737
 
4,715,825
Consumer Staples Distribution
& Retail — 0.8%
710
Costco Wholesale Corp.
675,842
Containers & Packaging —
0.5%
2,271
Avery Dennison Corp.
385,457
Diversified Telecommunication
Services — 0.9%
17,065
AT&T, Inc.
396,761
7,743
Verizon Communications, Inc.
362,450
 
759,211
Electric Utilities — 4.9%
12,171
Alliant Energy Corp.
861,463
7,383
Duke Energy Corp.
926,050
6,811
Evergy, Inc.
565,381
16,465
FirstEnergy Corp.
795,424
4,923
Pinnacle West Capital Corp.
497,174
Shares
Description
Value
 
Electric Utilities (Continued)
5,197
PPL Corp.
$182,986
3,394
Southern (The) Co.
320,869
 
4,149,347
Electrical Equipment — 0.6%
2,175
AMETEK, Inc.
525,719
Electronic Equipment,
Instruments & Components
— 2.5%
3,145
Teledyne Technologies, Inc. (a)
2,061,768
Financial Services — 3.1%
2,703
Berkshire Hathaway, Inc.,
Class B (a)
1,382,693
984
Mastercard, Inc., Class A
563,930
1,755
Visa, Inc., Class A
642,558
 
2,589,181
Gas Utilities — 1.0%
5,000
Atmos Energy Corp.
863,900
Ground Transportation —
1.7%
13,624
CSX Corp.
686,649
2,598
Union Pacific Corp.
758,954
 
1,445,603
Health Care Equipment &
Supplies — 4.1%
5,099
Abbott Laboratories
538,964
1,941
Becton Dickinson & Co.
321,469
5,381
Edwards Lifesciences Corp. (a)
463,143
8,872
Medtronic PLC
757,580
1,642
ResMed, Inc.
346,429
1,746
STERIS PLC
398,786
1,933
Stryker Corp.
629,578
 
3,455,949
Health Care Providers &
Services — 1.5%
979
Cencora, Inc.
304,802
1,441
Labcorp Holdings, Inc.
445,557
2,168
Quest Diagnostics, Inc.
505,166
 
1,255,525
Health Care REITs — 1.4%
12,186
Ventas, Inc.
1,139,513
Hotels, Restaurants & Leisure
— 2.4%
819
Domino’s Pizza, Inc.
284,553
4,470
McDonald’s Corp.
1,209,761
3,326
Yum! Brands, Inc.
509,809
 
2,004,123
See Notes to Financial Statements
Page 1
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
Portfolio of Investments (Continued)
July 31, 2026
Shares
Description
Value
COMMON STOCKS (Continued)
Household Products — 1.7%
6,383
Colgate-Palmolive Co.
$582,768
6,083
Procter & Gamble (The) Co.
878,933
 
1,461,701
Industrial Conglomerates —
0.3%
907
Honeywell International, Inc.
220,446
Insurance — 10.1%
10,320
Aflac, Inc.
1,315,594
5,859
Arch Capital Group Ltd. (a)
589,005
2,884
Chubb Ltd.
1,011,361
3,451
Cincinnati Financial Corp.
613,174
4,097
Globe Life, Inc.
746,678
7,066
Hartford Insurance Group (The),
Inc.
1,002,736
13,302
Loews Corp.
1,543,165
3,129
Marsh & McLennan Cos., Inc.
593,540
2,948
Travelers (The) Cos., Inc.
1,103,613
 
8,518,866
IT Services — 2.9%
8,521
VeriSign, Inc.
2,471,260
Machinery — 2.5%
1,911
Illinois Tool Works, Inc.
548,361
1,614
Nordson Corp.
480,617
6,845
Otis Worldwide Corp.
492,498
1,446
Snap-on, Inc.
593,453
 
2,114,929
Multi-Utilities — 5.3%
8,186
Ameren Corp.
897,267
16,653
CenterPoint Energy, Inc.
700,092
9,817
CMS Energy Corp.
706,726
1,747
Consolidated Edison, Inc.
190,161
3,559
DTE Energy Co.
504,915
4,241
NiSource, Inc.
188,428
11,423
WEC Energy Group, Inc.
1,249,905
 
4,437,494
Oil, Gas & Consumable Fuels
— 2.3%
2,698
Chevron Corp.
531,047
2,569
ExxonMobil Holdings Corp.
399,326
19,533
Kinder Morgan, Inc.
628,572
5,463
Williams (The) Cos., Inc.
390,823
 
1,949,768
Pharmaceuticals — 2.0%
5,448
Johnson & Johnson
1,396,595
10,971
Pfizer, Inc.
274,384
 
1,670,979
Professional Services — 0.7%
2,259
Automatic Data Processing, Inc.
601,933
Shares
Description
Value
 
Residential REITs — 1.2%
7,380
Mid-America Apartment
Communities, Inc.
$976,669
Retail REITs — 5.1%
8,462
Federal Realty Investment Trust
1,050,050
26,981
Realty Income Corp.
1,723,276
18,772
Regency Centers Corp.
1,507,204
 
4,280,530
Software — 10.4%
91,679
Gen Digital, Inc.
2,516,589
5,030
Microsoft Corp.
2,337,542
12,087
PTC, Inc. (a)
1,658,336
5,661
Roper Technologies, Inc.
2,218,942
 
8,731,409
Specialized REITs — 1.9%
59,099
VICI Properties, Inc.
1,557,259
Specialty Retail — 4.0%
83
AutoZone, Inc. (a)
250,349
1,368
Home Depot (The), Inc.
454,121
1,471
Lowe’s Cos., Inc.
305,688
6,135
O’Reilly Automotive, Inc. (a)
548,162
2,065
Ross Stores, Inc.
518,460
7,999
TJX (The) Cos., Inc.
1,258,563
 
3,335,343
Technology Hardware, Storage
& Peripherals — 2.8%
7,644
Apple, Inc.
2,361,308
Tobacco — 0.7%
9,129
Altria Group, Inc.
623,785
Trading Companies &
Distributors — 0.6%
368
W.W. Grainger, Inc.
508,657
Wireless Telecommunication
Services — 0.3%
1,566
T-Mobile US, Inc.
270,464
Total Common Stocks
83,815,607
(Cost $75,854,267)
MONEY MARKET FUNDS — 0.3%
229,561
BNY Dreyfus Government Cash
Management Fund,
Institutional Shares -
3.56% (b)
229,561
(Cost $229,561)
Total Investments — 100.0%
84,045,168
(Cost $76,083,828)
Net Other Assets and
Liabilities — 0.0%
40,839
Net Assets — 100.0%
$84,086,007
 
See Notes to Financial Statements
Page 2
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
Portfolio of Investments (Continued)
July 31, 2026
(a)
Non-income producing security.
(b)
Rate shown reflects yield as of July 31, 2026.
 
Abbreviations throughout the Portfolio of Investments:
REITs
–  Real Estate Investment Trusts
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks*
$83,815,607
$83,815,607
$—
$—
Money Market Funds
229,561
229,561
—
—
Total Investments
$84,045,168
$84,045,168
$—
$—
 
*
See Portfolio of Investments for industry breakout.
See Notes to Financial Statements
Page 3
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments
July 31, 2026
 
Shares
Description
Value
COMMON STOCKS (a) (b) — 98.8%
Australia — 8.3%
2,911
ASX Ltd. (AUD)
$112,412
9,462
Coles Group Ltd. (AUD)
160,390
26,497
Lottery (The) Corp., Ltd. (AUD)
104,223
36,359
Medibank Pvt., Ltd. (AUD)
132,269
2,533
National Australia Bank Ltd.
(AUD)
73,664
55,228
Scentre Group (AUD)
152,336
31,167
Stockland (AUD)
93,644
91,045
Telstra Group Ltd. (AUD)
321,601
63,951
Vicinity Ltd. (AUD)
120,598
1,572
Wesfarmers Ltd. (AUD)
98,845
2,909
Westpac Banking Corp. (AUD)
77,517
 
1,447,499
Belgium — 2.5%
1,971
Ageas S.A./N.V. (EUR)
163,419
1,147
Anheuser-Busch InBev
S.A./N.V. (EUR)
99,464
1,886
Groupe Bruxelles Lambert N.V.
(EUR)
169,964
 
432,847
Bermuda — 0.6%
13,796
CK Infrastructure Holdings Ltd.
(HKD)
110,123
Cayman Islands — 0.5%
14,832
CK Asset Holdings Ltd. (HKD)
90,478
Denmark — 2.0%
622
Carlsberg A/S, Class B (DKK)
91,755
667
Coloplast A/S, Class B (DKK)
44,185
9,157
Tryg A/S (DKK)
218,542
 
354,482
France — 8.2%
735
Air Liquide S.A. (EUR)
144,696
2,288
AXA S.A. (EUR)
118,570
828
BioMerieux (EUR)
65,977
27,982
Bollore SE (EUR)
124,940
1,382
Bouygues S.A. (EUR)
77,707
3,562
Bureau Veritas S.A. (EUR)
113,614
4,485
Carrefour S.A. (EUR)
82,414
1,198
Gecina S.A. (EUR)
103,542
7,596
Getlink SE (EUR)
161,872
5,191
Klepierre S.A. (EUR)
235,489
1,115
TotalEnergies SE (EUR)
98,258
2,796
Veolia Environnement S.A.
(EUR)
111,138
 
1,438,217
Germany — 5.7%
348
Allianz SE (EUR)
173,560
2,118
Deutsche Telekom AG (EUR)
65,358
990
DHL Group (EUR)
65,940
Shares
Description
Value
 
Germany (Continued)
4,582
E.ON SE (EUR)
$98,885
880
GEA Group AG (EUR)
62,561
354
Hannover Rueck SE (EUR)
102,299
1,539
Henkel AG & Co. KGaA (EUR)
126,181
174
Muenchener
Rueckversicherungs-
Gesellschaft AG in Muenchen
(EUR)
104,778
1,243
Siemens Healthineers AG
(EUR) (c) (d)
52,834
682
Talanx AG (EUR)
90,677
2,340
Vonovia SE (EUR)
56,747
 
999,820
Hong Kong — 6.9%
15,000
BOC Hong Kong Holdings Ltd.
(HKD)
99,842
35,230
CLP Holdings Ltd. (HKD)
350,845
344,594
Hong Kong & China Gas Co.,
Ltd. (HKD)
308,897
23,488
Link REIT (HKD)
117,164
31,612
MTR Corp., Ltd. (HKD)
133,504
14,850
Power Assets Holdings Ltd.
(HKD)
111,814
58,645
Sino Land Co., Ltd. (HKD)
80,014
 
1,202,080
Ireland — 0.4%
780
Kerry Group PLC, Class A
(EUR)
74,475
Italy — 4.8%
3,574
Eni S.p.A. (EUR)
98,830
2,848
Generali (EUR)
144,471
8,024
Italgas S.p.A. (EUR)
82,776
5,712
Poste Italiane S.p.A. (EUR)
172,640
1,530
Recordati Industria Chimica e
Farmaceutica S.p.A. (EUR)
91,127
23,256
Snam S.p.A. (EUR)
157,902
8,601
Terna-Rete Elettrica Nazionale
(EUR)
98,905
 
846,651
Japan — 15.5%
3,700
ANA Holdings, Inc. (JPY)
72,463
8,700
Asahi Group Holdings Ltd.
(JPY)
91,126
2,400
Bridgestone Corp. (JPY)
59,810
2,000
Canon, Inc. (JPY)
55,661
2,200
Chubu Electric Power Co., Inc.
(JPY)
38,537
4,700
Daito Trust Construction Co.,
Ltd. (JPY)
99,521
3,900
Daiwa House Industry Co., Ltd.
(JPY)
114,668
See Notes to Financial Statements
Page 4
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments (Continued)
July 31, 2026
Shares
Description
Value
COMMON STOCKS (a) (b) (Continued)
Japan (Continued)
2,600
East Japan Railway Co. (JPY)
$60,071
2,400
Hankyu Hanshin Holdings, Inc.
(JPY)
71,123
7,200
Hulic Co., Ltd. (JPY)
79,578
2,600
Japan Tobacco, Inc. (JPY)
116,596
2,900
JFE Holdings, Inc. (JPY)
33,127
5,800
Kao Corp. (JPY)
119,131
5,500
KDDI Corp. (JPY)
100,974
4,000
Kirin Holdings Co., Ltd. (JPY)
74,240
2,400
MatsukiyoCocokara & Co. (JPY)
38,231
10,600
Mitsubishi HC Capital, Inc.
(JPY)
98,135
1,200
Mitsui OSK Lines Ltd. (JPY)
44,454
1,800
Nippon Yusen KK (JPY)
69,124
198,200
NTT, Inc. (JPY)
189,847
1,100
Osaka Gas Co., Ltd. (JPY)
38,129
3,000
Otsuka Corp. (JPY)
61,733
3,000
Secom Co., Ltd. (JPY)
129,763
3,700
Sekisui Chemical Co., Ltd.
(JPY)
61,975
4,700
Sekisui House Ltd. (JPY)
103,036
1,700
Shimadzu Corp. (JPY)
43,743
165,100
SoftBank Corp. (JPY)
231,818
4,000
Suntory Beverage & Food Ltd.
(JPY)
115,647
2,500
Takeda Pharmaceutical Co., Ltd.
(JPY)
86,625
10,400
Tokyu Corp. (JPY)
114,194
5,400
West Japan Railway Co. (JPY)
101,854
 
2,714,934
Multi-National — 0.6%
795
Unibail-Rodamco-Westfield
(EUR) (e)
96,534
Netherlands — 4.9%
2,514
ASR Nederland N.V. (EUR)
205,482
1,344
Ferrovial N.V. (EUR)
87,938
1,351
Heineken Holding N.V. (EUR)
113,649
1,220
Heineken N.V. (EUR)
110,493
2,107
Koninklijke Ahold Delhaize
N.V. (EUR)
83,484
22,321
Koninklijke KPN N.V. (EUR)
105,815
1,604
NN Group N.V. (EUR)
150,932
 
857,793
New Zealand — 1.7%
23,650
Auckland International Airport
Ltd. (NZD)
121,339
32,186
Contact Energy Ltd. (NZD)
172,528
 
293,867
Norway — 1.9%
2,742
DNB Bank ASA (NOK)
88,242
Shares
Description
Value
 
Norway (Continued)
2,848
Gjensidige Forsikring ASA
(NOK)
$84,801
9,322
Orkla ASA (NOK)
103,671
4,165
Telenor ASA (NOK)
58,800
 
335,514
Singapore — 11.4%
166,200
CapitaLand Ascendas REIT
(SGD)
333,061
161,900
CapitaLand Integrated
Commercial Trust (SGD)
314,344
58,300
CapitaLand Investment Ltd.
(SGD)
120,923
4,030
DBS Group Holdings Ltd.
(SGD)
232,602
11,000
Oversea-Chinese Banking Corp.,
Ltd. (SGD)
249,858
24,800
Singapore Airlines Ltd. (SGD)
148,903
6,000
Singapore Exchange Ltd. (SGD)
114,437
19,300
Singapore Telecommunications
Ltd. (SGD)
66,819
7,300
United Overseas Bank Ltd.
(SGD)
247,043
56,400
Wilmar International Ltd. (SGD)
172,835
 
2,000,825
Spain — 3.2%
2,138
Aena SME S.A. (EUR) (c) (d)
65,778
6,953
Iberdrola S.A. (EUR)
165,569
12,508
Mapfre S.A. (EUR)
63,954
3,591
Naturgy Energy Group S.A.
(EUR)
119,922
8,049
Redeia Corp. S.A. (EUR)
142,196
 
557,419
Sweden — 5.3%
1,492
Alfa Laval AB (SEK)
88,309
2,153
Assa Abloy AB, Class B (SEK)
79,837
3,765
Essity AB, Class B (SEK)
109,603
1,561
Industrivarden AB, Class A
(SEK)
89,999
1,645
Industrivarden AB, Class C
(SEK)
94,082
2,495
Investor AB, Class B (SEK)
107,690
1,572
L E Lundbergforetagen AB,
Class B (SEK)
94,348
5,421
Securitas AB, Class B (SEK)
87,103
5,832
Svenska Handelsbanken AB,
Class A (SEK)
89,205
17,550
Telia Co., AB (SEK)
81,426
 
921,602
Switzerland — 6.6%
1,090
Banque Cantonale Vaudoise
(CHF)
171,229
See Notes to Financial Statements
Page 5
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments (Continued)
July 31, 2026
Shares
Description
Value
COMMON STOCKS (a) (b) (Continued)
Switzerland (Continued)
115
Geberit AG (CHF)
$75,704
327
Helvetia Baloise Holding AG
(CHF)
87,691
749
Nestle S.A. (CHF)
75,053
562
Novartis AG (CHF)
88,007
235
Schindler Holding AG (CHF)
74,007
801
SGS S.A. (CHF)
94,897
112
Swiss Life Holding AG (CHF)
132,275
797
Swiss Prime Site AG (CHF)
129,933
150
Swisscom AG (CHF)
115,406
133
Zurich Insurance Group AG
(CHF)
101,307
 
1,145,509
United Kingdom — 7.8%
933
Coca-Cola Europacific
Partners PLC
102,126
16,141
Haleon PLC (GBP)
79,032
16,658
J Sainsbury PLC (GBP)
80,688
26,818
M&G PLC (GBP)
129,214
9,379
National Grid PLC (GBP)
150,422
1,885
Reckitt Benckiser Group PLC
(GBP)
133,122
2,514
Severn Trent PLC (GBP)
102,257
2,219
Shell PLC (GBP)
101,188
3,462
Smiths Group PLC (GBP)
123,273
8,785
Standard Life PLC (GBP)
109,283
2,096
Unilever PLC (GBP)
133,984
6,363
United Utilities Group PLC
(GBP)
118,602
 
1,363,191
Total Common Stocks
17,283,860
(Cost $15,088,417)
MONEY MARKET FUNDS — 0.4%
59,518
BNY Dreyfus Government Cash
Management Fund,
Institutional Shares -
3.56% (f)
59,518
(Cost $59,518)
Total Investments — 99.2%
17,343,378
(Cost $15,147,935)
Net Other Assets and
Liabilities — 0.8%
144,899
Net Assets — 100.0%
$17,488,277
 
(a)
Portfolio securities are categorized based upon their country
of incorporation.
(b)
Securities are issued in U.S. dollars unless otherwise
indicated in the security description.
(c)
This security is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended (the
“1933 Act”) and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. This
security is not restricted on the foreign exchange where it
trades freely without any additional registration.
(d)
This security may be resold to qualified foreign investors and
foreign institutional buyers under Regulation S of the 1933
Act.
(e)
Non-income producing security.
(f)
Rate shown reflects yield as of July 31, 2026.
 
Abbreviations throughout the Portfolio of Investments:
AUD
–  Australian Dollar
CHF
–  Swiss Franc
DKK
–  Danish Krone
EUR
–  Euro
GBP
–  British Pound Sterling
HKD
–  Hong Kong Dollar
JPY
–  Japanese Yen
NOK
–  Norwegian Krone
NZD
–  New Zealand Dollar
SEK
–  Swedish Krona
SGD
–  Singapore Dollar
USD
–  United States Dollar
 
Currency Exposure Diversification
% of Total
Investments
EUR
30.6%
JPY
15.7
SGD
11.5
AUD
8.4
HKD
8.1
GBP
7.3
CHF
6.6
SEK
5.3
DKK
2.0
NOK
1.9
NZD
1.7
USD
0.9
Total
100.0%
See Notes to Financial Statements
Page 6
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
Portfolio of Investments (Continued)
July 31, 2026
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks*
$17,283,860
$17,283,860
$—
$—
Money Market Funds
59,518
59,518
—
—
Total Investments
$17,343,378
$17,343,378
$—
$—
 
*
See Portfolio of Investments for country breakout.
See Notes to Financial Statements
Page 7
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Portfolio of Investments
July 31, 2026
 
Shares
Description
Value
COMMON STOCKS — 99.8%
Aerospace & Defense — 0.8%
2,723
Hexcel Corp.
$280,333
Automobile Components —
1.7%
2,527
Autoliv, Inc.
311,251
11,689
Gentex Corp.
273,055
 
584,306
Banks — 5.1%
2,843
City Holding Co.
412,548
3,815
Commerce Bancshares, Inc.
226,115
1,124
Cullen/Frost Bankers, Inc.
186,966
9,029
First Commonwealth Financial
Corp.
194,394
5,308
Hilltop Holdings, Inc.
209,348
6,463
Home BancShares, Inc.
200,805
11,836
Northwest Bancshares, Inc.
186,299
2,272
Prosperity Bancshares, Inc.
170,105
 
1,786,580
Building Products — 0.8%
1,658
Armstrong World Industries, Inc.
289,586
Capital Markets — 0.6%
1,972
SEI Investments Co.
203,077
Chemicals — 3.8%
2,082
Balchem Corp.
348,849
4,163
Innospec, Inc.
357,935
386
NewMarket Corp.
328,162
2,884
RPM International, Inc.
308,790
 
1,343,736
Commercial Services &
Supplies — 2.6%
5,900
ABM Industries, Inc.
282,669
890
Clean Harbors, Inc. (a)
278,463
1,802
MSA Safety, Inc.
342,867
 
903,999
Construction & Engineering
— 1.4%
2,452
AECOM
177,500
2,648
Granite Construction, Inc.
320,329
 
497,829
Consumer Finance — 0.3%
588
FirstCash Holdings, Inc.
119,958
Consumer Staples Distribution
& Retail — 1.2%
13,230
Albertsons Cos., Inc., Class A
153,203
2,542
BJ’s Wholesale Club Holdings,
Inc. (a)
248,557
 
401,760
Shares
Description
Value
 
Containers & Packaging —
3.3%
2,477
AptarGroup, Inc.
$331,819
2,681
Crown Holdings, Inc.
315,956
5,803
Silgan Holdings, Inc.
232,004
4,659
Sonoco Products Co.
262,581
 
1,142,360
Diversified Consumer Services
— 1.7%
1,289
Grand Canyon Education,
Inc. (a)
187,343
4,851
Service Corp. International
418,108
 
605,451
Diversified REITs — 1.9%
2,643
American Assets Trust, Inc.
62,349
5,287
Essential Properties Realty Trust,
Inc.
165,430
5,285
Global Net Lease, Inc.
46,085
5,170
WP Carey, Inc.
380,512
 
654,376
Electric Utilities — 4.3%
3,633
IDACORP, Inc.
519,192
14,675
OGE Energy Corp.
694,861
566
Otter Tail Corp.
50,046
5,001
Portland General Electric Co.
246,699
 
1,510,798
Electronic Equipment,
Instruments & Components
— 1.8%
1,498
Arrow Electronics, Inc. (a)
324,422
3,602
Avnet, Inc.
320,002
 
644,424
Entertainment — 1.4%
685
Madison Square Garden Sports
Corp. (a)
269,671
8,334
Warner Music Group Corp.,
Class A
216,350
 
486,021
Financial Services — 2.9%
4,481
Enact Holdings, Inc.
212,041
3,866
Essent Group Ltd.
255,001
6,245
MGIC Investment Corp.
187,600
4,103
NMI Holdings, Inc. (a)
181,763
4,569
Radian Group, Inc.
178,145
 
1,014,550
Food Products — 4.1%
6,831
Del Monte Corp.
202,949
5,639
Ingredion, Inc.
560,855
2,629
J & J Snack Foods Corp.
201,118
See Notes to Financial Statements
Page 8
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Portfolio of Investments (Continued)
July 31, 2026
Shares
Description
Value
COMMON STOCKS (Continued)
Food Products (Continued)
1,908
Marzetti (The) Company
$203,908
2,890
Post Holdings, Inc. (a)
264,175
 
1,433,005
Gas Utilities — 5.1%
930
Chesapeake Utilities Corp.
123,485
2,353
MDU Resources Group, Inc.
46,942
1,425
National Fuel Gas Co.
117,292
6,182
New Jersey Resources Corp.
357,876
4,506
Northwest Natural Holding Co.
220,434
4,550
ONE Gas, Inc.
353,307
1,754
Southwest Gas Holdings, Inc.
156,808
3,898
Spire, Inc.
311,294
2,933
UGI Corp.
105,940
 
1,793,378
Health Care Providers &
Services — 2.5%
565
Chemed Corp.
300,721
3,221
Encompass Health Corp.
357,756
1,286
Ensign Group (The), Inc.
229,114
 
887,591
Health Care REITs — 2.0%
951
American Healthcare REIT, Inc.
52,876
1,329
CareTrust REIT, Inc.
55,738
5,240
Healthcare Realty Trust, Inc.
110,092
7,628
LTC Properties, Inc.
306,951
2,650
Omega Healthcare Investors, Inc.
134,170
2,407
Sabra Health Care REIT, Inc.
50,956
 
710,783
Hotel & Resort REITs — 0.2%
4,246
Apple Hospitality REIT, Inc.
70,101
Hotels, Restaurants & Leisure
— 1.1%
3,177
Monarch Casino & Resort, Inc.
389,977
Household Products — 1.6%
12,374
Reynolds Consumer Products,
Inc.
308,607
1,149
WD-40 Co.
260,984
 
569,591
Independent Power and
Renewable Electricity
Producers — 0.1%
449
Ormat Technologies, Inc.
43,813
Industrial REITs — 1.2%
578
EastGroup Properties, Inc.
120,808
826
First Industrial Realty Trust, Inc.
54,384
1,063
LXP Industrial Trust
64,343
1,440
Rexford Industrial Realty, Inc.
54,389
Shares
Description
Value
 
Industrial REITs (Continued)
1,735
STAG Industrial, Inc.
$66,381
798
Terreno Realty Corp.
57,177
 
417,482
Insurance — 9.2%
2,226
American Financial Group, Inc.
315,469
3,860
Assured Guaranty Ltd.
319,299
3,659
CNO Financial Group, Inc.
201,574
3,726
Employers Holdings, Inc.
188,349
2,916
Fidelity National Financial, Inc.
150,436
2,114
First American Financial Corp.
158,529
1,887
Hanover Insurance Group (The),
Inc.
438,973
6,024
Horace Mann Educators Corp.
313,911
4,652
Old Republic International Corp.
201,013
676
Primerica, Inc.
216,293
722
Reinsurance Group of America,
Inc.
171,006
481
RenaissanceRe Holdings Ltd.
153,910
3,736
RLI Corp.
228,793
2,024
Unum Group
174,287
 
3,231,842
Machinery — 4.5%
3,087
Donaldson Co., Inc.
290,919
2,640
Franklin Electric Co., Inc.
276,461
5,520
Graco, Inc.
438,178
1,198
ITT, Inc.
234,784
950
Watts Water Technologies, Inc.,
Class A
328,500
 
1,568,842
Media — 0.8%
3,807
New York Times (The) Co.,
Class A
285,106
Metals & Mining — 1.3%
1,077
Reliance, Inc.
437,370
Mortgage REITs — 5.8%
15,973
Annaly Capital Management,
Inc.
362,907
24,328
Apollo Commercial Real Estate
Finance, Inc.
161,051
10,324
ARMOUR Residential REIT,
Inc.
170,036
14,698
Blackstone Mortgage Trust, Inc.,
Class A
213,709
40,800
Ellington Financial, Inc.
541,824
12,525
PennyMac Mortgage Investment
Trust
118,111
30,551
Starwood Property Trust, Inc.
488,205
 
2,055,843
See Notes to Financial Statements
Page 9
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Portfolio of Investments (Continued)
July 31, 2026
Shares
Description
Value
COMMON STOCKS (Continued)
Multi-Utilities — 1.3%
8,057
Avista Corp.
$325,905
1,942
Black Hills Corp.
138,290
 
464,195
Office REITs — 1.3%
6,438
COPT Defense Properties
244,386
2,179
Cousins Properties, Inc.
68,747
2,257
Easterly Government Properties,
Inc.
54,981
2,313
Highwoods Properties, Inc.
76,630
 
444,744
Oil, Gas & Consumable Fuels
— 2.3%
18,273
Antero Midstream Corp.
401,458
3,007
DT Midstream, Inc.
414,966
 
816,424
Pharmaceuticals — 1.4%
10,579
Innoviva, Inc. (a)
221,842
5,597
Prestige Consumer Healthcare,
Inc. (a)
281,081
 
502,923
Professional Services — 1.7%
1,691
FTI Consulting, Inc. (a)
269,512
3,867
Korn Ferry
318,138
 
587,650
Residential REITs — 1.3%
2,896
American Homes 4 Rent,
Class A
96,784
4,941
Equity LifeStyle Properties, Inc.
321,511
3,139
Independence Realty Trust, Inc.
52,202
 
470,497
Retail REITs — 6.7%
2,463
Acadia Realty Trust
55,344
6,287
Agree Realty Corp.
489,129
3,867
Brixmor Property Group, Inc.
121,849
1,871
Curbline Properties Corp.
57,327
2,370
Getty Realty Corp.
80,912
4,544
Kite Realty Group Trust
130,049
11,441
NNN REIT, Inc.
543,676
18,026
Phillips Edison & Co., Inc.
765,925
1,412
Tanger, Inc.
57,412
2,890
Urban Edge Properties
65,487
 
2,367,110
Software — 0.9%
5,568
Dolby Laboratories, Inc.,
Class A
327,454
Specialized REITs — 2.8%
1,284
CubeSmart
53,235
886
EPR Properties
54,994
Shares
Description
Value
 
Specialized REITs (Continued)
19,073
Four Corners Property Trust, Inc.
$488,269
4,617
Gaming and Leisure Properties,
Inc.
206,795
370
Lamar Advertising Co., Class A
59,185
225
Public Storage
72,938
2,459
Rayonier, Inc.
53,557
 
988,973
Specialty Retail — 1.2%
1,924
Penske Automotive Group, Inc.
418,104
Tobacco — 0.9%
6,250
Universal Corp.
329,312
Trading Companies &
Distributors — 2.1%
2,297
GATX Corp.
410,865
2,778
MSC Industrial Direct Co., Inc.,
Class A
342,805
 
753,670
Water Utilities — 0.8%
2,077
American States Water Co.
177,874
1,098
California Water Service Group
55,021
842
H2O America
51,640
 
284,535
Total Common Stocks
35,119,459
(Cost $31,222,110)
MONEY MARKET FUNDS — 0.2%
73,391
BNY Dreyfus Government Cash
Management Fund,
Institutional Shares -
3.56% (b)
73,391
(Cost $73,391)
Total Investments — 100.0%
35,192,850
(Cost $31,295,501)
Net Other Assets and
Liabilities — 0.0%
15,152
Net Assets — 100.0%
$35,208,002
 
(a)
Non-income producing security.
(b)
Rate shown reflects yield as of July 31, 2026.
 
Abbreviations throughout the Portfolio of Investments:
REITs
–  Real Estate Investment Trusts
See Notes to Financial Statements
Page 10
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Portfolio of Investments (Continued)
July 31, 2026
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Common Stocks*
$35,119,459
$35,119,459
$—
$—
Money Market Funds
73,391
73,391
—
—
Total Investments
$35,192,850
$35,192,850
$—
$—
 
*
See Portfolio of Investments for industry breakout.
See Notes to Financial Statements
Page 11
First Trust Exchange-Traded Fund III
Statements of Assets and Liabilities
July 31, 2026
 
 
First Trust
Horizon
Managed
Volatility
Domestic ETF
(HUSV)
First Trust
Horizon
Managed
Volatility
Developed
International
ETF
(HDMV)
First Trust
Horizon
Managed
Volatility
Small/Mid ETF
(HSMV)
ASSETS:
Investments, at value
$84,045,168
$17,343,378
$35,192,850
Foreign currency, at value
—
1,610
—
Due from broker
—
1,008
—
Receivables:
Capital shares sold
10,254,041
—
—
Dividends
47,651
21,341
38,877
Reclaims
—
132,481
—
Total Assets
94,346,860
17,499,818
35,231,727
 
LIABILITIES:
Payables:
Investment securities purchased
10,216,758
—
—
Investment advisory fees
44,095
11,541
23,725
Total Liabilities
10,260,853
11,541
23,725
NET ASSETS
$84,086,007
$17,488,277
$35,208,002
 
NET ASSETS consist of:
Paid-in capital
$115,612,734
$44,057,881
$34,228,800
Par value
20,500
4,500
9,000
Accumulated distributable earnings (loss)
(31,547,227
)
(26,574,104
)
970,202
NET ASSETS
$84,086,007
$17,488,277
$35,208,002
NET ASSET VALUE, per share
$41.02
$38.86
$39.12
Number of shares outstanding (unlimited number of shares authorized,
par value $0.01 per share)
2,050,002
450,002
900,002
Investments, at cost
$76,083,828
$15,147,935
$31,295,501
Foreign currency, at cost (proceeds)
$—
$1,626
$—
See Notes to Financial Statements
Page 12
First Trust Exchange-Traded Fund III
Statements of Operations
For the Year Ended July 31, 2026
 
 
First Trust
Horizon
Managed
Volatility
Domestic ETF
(HUSV)
First Trust
Horizon
Managed
Volatility
Developed
International
ETF
(HDMV)
First Trust
Horizon
Managed
Volatility
Small/Mid ETF
(HSMV)
INVESTMENT INCOME:
Dividends
$1,720,971
$838,036
$979,629
Foreign withholding tax
—
(43,414
)
—
Total investment income
1,720,971
794,622
979,629
 
EXPENSES:
Investment advisory fees
583,835
 
156,752
 
235,393
 
Other expenses
7,217
2,274
1,625
Total expenses
591,052
159,026
237,018
NET INVESTMENT INCOME (LOSS)
1,129,919
635,596
742,611
 
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments
(2,909,520
)
734,326
12,734
In-kind redemptions
3,427,026
985,447
(83
)
Foreign currency transactions
—
(6,576
)
—
Net realized gain (loss)
517,506
1,713,197
12,651
Net increase from payment by the advisor
—
981
—
Net change in unrealized appreciation (depreciation) on:
Investments
1,887,721
826,932
2,976,743
Foreign currency translation
—
584
—
Net change in unrealized appreciation (depreciation)
1,887,721
827,516
2,976,743
NET REALIZED AND UNREALIZED GAIN (LOSS)
2,405,227
2,541,694
2,989,394
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
$3,535,146
$3,177,290
$3,732,005
See Notes to Financial Statements
Page 13
First Trust Exchange-Traded Fund III
Statements of Changes in Net Assets
 
 
First Trust Horizon Managed
Volatility Domestic ETF (HUSV)
First Trust Horizon Managed
Volatility Developed International
ETF (HDMV)
 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
OPERATIONS:
Net investment income (loss)
$1,129,919
$1,237,317
$635,596
$940,281
Net realized gain (loss)
517,506
10,422,369
1,713,197
5,403,639
Net increase from payment by the advisor
—
—
981
—
Net change in unrealized appreciation (depreciation)
1,887,721
(3,247,082
)
827,516
(942,490
)
Net increase (decrease) in net assets resulting from
operations
3,535,146
8,412,604
3,177,290
5,401,430
 
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations
(1,132,466
)
(1,244,276
)
(896,443
)
(1,034,818
)
 
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold
16,134,136
 
33,227,443
 
—
 
4,802,205
 
Cost of shares redeemed
(31,403,357
) 
(31,086,858
) 
(7,150,397
) 
(19,708,370
) 
Net increase (decrease) in net assets resulting from
shareholder transactions
(15,269,221
)
2,140,585
(7,150,397
)
(14,906,165
)
Total increase (decrease) in net assets
(12,866,541
)
9,308,913
(4,869,550
)
(10,539,553
)
 
NET ASSETS:
Beginning of period
96,952,548
87,643,635
22,357,827
32,897,380
End of period
$84,086,007
$96,952,548
$17,488,277
$22,357,827
 
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period
2,450,002
2,400,002
650,002
1,100,002
Shares sold
400,000
850,000
—
150,000
Shares redeemed
(800,000
)
(800,000
)
(200,000
)
(600,000
)
Shares outstanding, end of period
2,050,002
2,450,002
450,002
650,002
See Notes to Financial Statements
Page 14
 
First Trust Horizon Managed
Volatility Small/Mid ETF
(HSMV)
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
$742,611
$405,331
12,651
1,974,318
—
—
2,976,743
(2,244,428
)
3,732,005
135,221
(590,271
)
(370,621
)
5,534,410
 
16,040,926
 
—
 
(9,040,772
) 
5,534,410
7,000,154
8,676,144
6,764,754
26,531,858
19,767,104
$35,208,002
$26,531,858
750,002
550,002
150,000
450,000
—
(250,000
)
900,002
750,002
See Notes to Financial Statements
Page 15
First Trust Exchange-Traded Fund III
Financial Highlights
For a share outstanding throughout each period
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$39.57
$36.52
$32.87
$33.22
$33.08
Income from investment operations:
Net investment income (loss)
0.53
 (a)
0.51
 (a)
0.47
 (a)
0.58
 (a)
0.51
 
Net realized and unrealized gain (loss)
1.44
 
3.05
 
3.67
 
(0.31
) 
0.10
 
Total from investment operations
1.97
 
3.56
 
4.14
 
0.27
 
0.61
 
Distributions paid to shareholders from:
Net investment income
(0.52
) 
(0.51
) 
(0.49
) 
(0.62
) 
(0.47
) 
Net asset value, end of period
$41.02
 
$39.57
 
$36.52
 
$32.87
 
$33.22
 
Total return (b)
5.06
% 
9.78
% 
12.74
% 
0.88
% 
1.82
% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$84,086
 
$96,953
 
$87,644
 
$92,037
 
$99,665
 
Ratio of total expenses to average net assets
0.71
% (c)
0.70
% 
0.70
% 
0.70
% 
0.70
% 
Ratio of net investment income (loss) to average net assets
1.35
% 
1.31
% 
1.39
% 
1.79
% 
1.46
% 
Portfolio turnover rate (d)
56
% 
84
% 
100
% 
122
% 
76
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year.
(c)
Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.70%.
(d)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 16
First Trust Exchange-Traded Fund III
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$34.40
$29.91
$29.06
$28.60
$32.21
Income from investment operations:
Net investment income (loss)
1.18
 (a)
0.95
 (a)
0.84
 (a)
0.88
 (a)
0.90
 
Net realized and unrealized gain (loss)
4.83
 
4.77
 
0.93
 
0.52
 
(3.62
) 
Total from investment operations
6.01
 
5.72
 
1.77
 
1.40
 
(2.72
) 
Distributions paid to shareholders from:
Net investment income
(1.55
) 
(1.23
) 
(0.92
) 
(0.94
) 
(0.89
) 
Net asset value, end of period
$38.86
 
$34.40
 
$29.91
 
$29.06
 
$28.60
 
Total return (b)
17.94
% (c)
19.29
% 
6.33
% 
5.22
% 
(8.50
)% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$17,488
 
$22,358
 
$32,897
 
$40,687
 
$45,757
 
Ratio of total expenses to average net assets
0.81
% (d)
0.80
% 
0.80
% 
0.80
% 
0.80
% 
Ratio of net investment income (loss) to average net assets
3.24
% 
3.01
% 
2.96
% 
3.19
% 
2.53
% 
Portfolio turnover rate (e)
57
% 
90
% 
79
% 
80
% 
65
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year.
(c)
The Fund received a payment from the advisor in the amount of $981, which represents less than $0.01 per share. Since the advisor reimbursed
the Fund, there was no effect on the Fund’s total return.
(d)
Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.
(e)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 17
First Trust Exchange-Traded Fund III
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$35.38
$35.94
$31.82
$32.14
$33.12
Income from investment operations:
Net investment income (loss)
0.93
 (a)
0.68
 (a)
0.43
 (a)
0.44
 (a)
0.36
 
Net realized and unrealized gain (loss)
3.54
 
(0.62
) 
4.12
 
(0.29
) 
(1.05
) 
Total from investment operations
4.47
 
0.06
 
4.55
 
0.15
 
(0.69
) 
Distributions paid to shareholders from:
Net investment income
(0.73
) 
(0.62
) 
(0.43
) 
(0.47
) 
(0.29
) 
Net asset value, end of period
$39.12
 
$35.38
 
$35.94
 
$31.82
 
$32.14
 
Total return (b)
12.80
% 
0.14
% 
14.48
% 
0.57
% 
(2.11
)% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$35,208
 
$26,532
 
$19,767
 
$19,091
 
$16,068
 
Ratio of total expenses to average net assets
0.81
% (c)
0.80
% 
0.80
% 
0.80
% 
0.80
% 
Ratio of net investment income (loss) to average net assets
2.52
% 
1.88
% 
1.34
% 
1.43
% 
1.09
% 
Portfolio turnover rate (d)
40
% 
66
% 
53
% 
70
% 
71
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year.
(c)
Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.
(d)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 18
Notes to Financial Statements
First Trust Exchange-Traded Fund III
July 31, 2026

1. Organization
First Trust Exchange-Traded Fund III (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
This report covers the three funds (each a “Fund” and collectively, the “Funds”) listed below, each a diversified series of the Trust and listed and traded on the NYSE Arca, Inc.
 
First Trust Horizon Managed Volatility Domestic ETF (ticker “HUSV”)
First Trust Horizon Managed Volatility Developed International ETF (ticker “HDMV”)
First Trust Horizon Managed Volatility Small/Mid ETF (ticker “HSMV”)
Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.”
Each Fund is an actively managed exchange-traded fund. The investment objective of each Fund is to provide capital appreciation.
Under normal market conditions, HUSV seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in common stocks of domestic companies listed and traded on U.S. national securities exchanges that Horizon Investments, LLC (“Horizon” or the “Sub-Advisor”) believes exhibit low future expected volatility.
Under normal market conditions, HDMV seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in common stocks and depositary receipts of developed market companies listed and traded on non-U.S. exchanges that Horizon believes exhibit low future expected volatility.
Under normal market conditions, HSMV seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in small- and/or mid-capitalization common stocks listed and traded on U.S. national securities exchanges that Horizon believes exhibit low future expected volatility.
There can be no assurance that a Fund will achieve its investment objective. The Funds may not be appropriate for all investors.
2. Significant Accounting Policies
The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
Each Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund’s NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Each Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:
Page 19
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq, Inc. (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.
Securities trading on foreign exchanges or over-the-counter markets that close prior to the NYSE close may be valued using a systematic fair valuation model provided by a third-party pricing service. If these foreign securities meet certain criteria in relation to the valuation model, their valuation is systematically adjusted to reflect the impact of movement in the U.S. market after the close of the foreign markets.
Shares of open-end funds are valued based on NAV per share.
Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
 1)
the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;
 2)
the type of security;
 3)
the size of the holding;
 4)
the initial cost of the security;
 5)
transactions in comparable securities;
 6)
price quotes from dealers and/or third-party pricing services;
 7)
relationships among various securities;
 8)
information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
 9)
a review of the issuer’s financial statements;
10)
the existence of merger proposals or tender offers that might affect the value of the security; and
11)
other relevant factors.
If the securities in question are foreign securities, the following additional information may be considered:
 1)
the last sale price on the exchange on which they are principally traded;
 2)
the value of similar foreign securities traded on other foreign markets;
 3)
ADR trading of similar securities;
 4)
closed-end fund or exchange-traded fund trading of similar securities;
 5)
foreign currency exchange activity;
 6)
the trading prices of financial products that are tied to baskets of foreign securities;
 7)
factors relating to the event that precipitated the pricing problem;
 8)
whether the event is likely to recur;
 9)
whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and
10)
other relevant factors.
Page 20
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
Because foreign markets may be open on different days than the days during which investors may transact in the shares of a Fund, the value of the Fund’s securities may change on the days when investors are not able to transact in the shares of the Fund. The value of the securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
•  Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•  Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o  Quoted prices for similar investments in active markets.
o  Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o  Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o  Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
•  Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of July 31, 2026, is included with each Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund’s understanding of the applicable country’s tax rules and rates.
Distributions received from a Fund’s investments in real estate investment trusts (“REITs”) may be comprised of return of capital, capital gains, and income. The actual character of the amounts received during the year are not known until after the REITs’ fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.
C. Foreign Currency
The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in “Net change in unrealized appreciation (depreciation) on foreign currency translation” on the Statements of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are shown in “Net change in unrealized appreciation (depreciation) on investments” on the Statements of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are included in “Net realized gain (loss) on foreign currency transactions” on the Statements of Operations. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in “Net realized gain (loss) on investments” on the Statements of Operations.
Page 21
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
D. Dividends and Distributions to Shareholders
Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2026 were as follows:
 
 
Distributions
paid from
Ordinary
Income
Distributions
paid from
Capital
Gains
Distributions
paid from
Return of
Capital
First Trust Horizon Managed Volatility Domestic ETF
$1,132,466
$—
$—
First Trust Horizon Managed Volatility Developed International ETF
896,443
—
—
First Trust Horizon Managed Volatility Small/Mid ETF
590,271
—
—
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2025 were as follows:
 
 
Distributions
paid from
Ordinary
Income
Distributions
paid from
Capital
Gains
Distributions
paid from
Return of
Capital
First Trust Horizon Managed Volatility Domestic ETF
$1,244,276
$—
$—
First Trust Horizon Managed Volatility Developed International ETF
1,034,818
—
—
First Trust Horizon Managed Volatility Small/Mid ETF
370,621
—
—
As of July 31, 2026, the components of distributable earnings on a tax basis for each Fund were as follows:
 
 
Undistributed
Ordinary
Income
Accumulated
Capital and
Other
Gain (Loss)
Net
Unrealized
Appreciation
(Depreciation)
First Trust Horizon Managed Volatility Domestic ETF
$119,863
$(39,616,742
)
$7,949,652
First Trust Horizon Managed Volatility Developed International ETF
236,992
(28,776,808
)
1,965,712
First Trust Horizon Managed Volatility Small/Mid ETF
217,641
(2,982,901
)
3,735,462
E. Income Taxes
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2023, 2024, 2025, and 2026 remain open to federal and state audit. As of July 31, 2026, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain
Page 22
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2026, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund’s shareholders.
 
 
Non-Expiring
Capital Loss
Carryforwards
First Trust Horizon Managed Volatility Domestic ETF
$39,616,742
First Trust Horizon Managed Volatility Developed International ETF
28,776,808
First Trust Horizon Managed Volatility Small/Mid ETF
2,982,901
During the taxable year ended July 31, 2026, the following Fund utilized non-expiring capital loss carryforwards in the following amount:
 
 
Capital
Loss
Utilized
First Trust Horizon Managed Volatility Developed International ETF
$645,574
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2026, the Funds had no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2026, the adjustments for each Fund were as follows:
 
 
Accumulated
Net Investment
Income (Loss)
Accumulated
Net Realized
Gain (Loss)
on Investments
Paid-In
Capital
First Trust Horizon Managed Volatility Domestic ETF
$—
$(3,316,858
)
$3,316,858
First Trust Horizon Managed Volatility Developed International ETF
149,076
(1,066,678
)
917,602
First Trust Horizon Managed Volatility Small/Mid ETF
—
83
(83
)
As of July 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:
 
 
Tax Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
(Depreciation)
Net Unrealized
Appreciation
(Depreciation)
First Trust Horizon Managed Volatility Domestic ETF
$76,095,516
$10,005,603
$(2,055,951
)
$7,949,652
First Trust Horizon Managed Volatility Developed
International ETF
15,384,686
2,318,302
(359,610
)
1,958,692
First Trust Horizon Managed Volatility Small/Mid ETF
31,457,388
5,070,373
(1,334,911
)
3,735,462
F. Expenses
Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3).
Page 23
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
G. Segment Reporting
An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of each Fund. Each Fund operates as a single operating segment. Each Fund’s income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of each Fund, using the information presented in the financial statements and financial highlights.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for supervising the selection and ongoing monitoring of the securities in each Fund’s portfolio, managing the Funds’ business affairs and providing certain administrative services necessary for the management of the Funds.
First Trust is paid an annual unitary management fee for each Fund. Pursuant to the Investment Management Agreement between First Trust and the Trust, First Trust manages the investment of the Funds’ assets and is responsible for the expenses of each Fund, including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, which are paid by each respective Fund. The annual unitary management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedules:
 
Breakpoints
HUSV
HSMV
Fund net assets up to and including $2.5 billion
0.7000
%
0.80
%
Fund net assets greater than $2.5 billion up to and including $5 billion
0.6825
%
0.78
%
Fund net assets greater than $5 billion up to and including $7.5 billion
0.6650
%
0.76
%
Fund net assets greater than $7.5 billion up to and including $10 billion
0.6475
%
0.74
%
Fund net assets greater than $10 billion up to and including $15 billion
0.6300
%
0.72
%
Fund net assets greater than $15 billion
0.5950
%
0.68
%
 
Breakpoints
HDMV
Fund net assets up to and including $2.5 billion
0.80
%
Fund net assets greater than $2.5 billion up to and including $5 billion
0.78
%
Fund net assets greater than $5 billion up to and including $7.5 billion
0.76
%
Fund net assets greater than $7.5 billion up to and including $10 billion
0.74
%
Fund net assets greater than $10 billion
0.72
%
During the fiscal year ended July 31, 2026, HDMV received a payment from the Advisor in the amount of $981 in connection with a trade error.
Horizon serves as the Funds’ sub-advisor and manages each Fund’s portfolio subject to First Trust’s supervision. The Sub-Advisor receives a sub-advisory fee from First Trust equal to 50% of any remaining monthly unitary management fee paid to the Advisor after the average Fund’s expenses accrued during the most recent twelve months are subtracted from the unitary management fee for that month. During any period in which First Trust’s management fee is reduced in accordance with the breakpoints described above, the sub-advisory fee will be reduced to reflect the reduction in First Trust’s management fee.
The Trust has multiple service agreements with The Bank of New York Mellon (“BNY”). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNY is responsible for custody of each Fund’s assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for each Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Page 24
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.
Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Purchases and Sales of Securities
For the fiscal year ended July 31, 2026, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
 
 
Purchases
Sales
First Trust Horizon Managed Volatility Domestic ETF
$46,890,520
$46,936,334
First Trust Horizon Managed Volatility Developed International ETF
11,063,256
11,353,651
First Trust Horizon Managed Volatility Small/Mid ETF
12,210,085
11,861,138
For the fiscal year ended July 31, 2026, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
 
 
Purchases
Sales
First Trust Horizon Managed Volatility Domestic ETF
$16,079,993
$31,322,624
First Trust Horizon Managed Volatility Developed International ETF
—
7,096,359
First Trust Horizon Managed Volatility Small/Mid ETF
5,516,487
—
5. Creations, Redemptions and Transaction Fees
Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with a Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in Creation Units. Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized
Page 25
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
6. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.
7. Indemnification
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there was the following subsequent event:
On September 8, 2026, the Board of Trustees of the Trust (the “Board”) voted to terminate and liquidate both HDMV and HSMV pursuant to a Plan of Liquidation and Termination for each Fund. The Board determined that the termination and liquidation of HDMV and HSMV was in the best interests of HDMV and HSMV. The Funds will liquidate on or around January 15, 2027.
Page 26
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund III:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements ⁠of assets and liabilities of First Trust Horizon Managed Volatility Domestic ETF, First Trust Horizon Managed Volatility Developed International ETF, and First Trust Horizon Managed Volatility Small/Mid ETF (the “Funds”), each a series of the First Trust Exchange-Traded Fund III, including the portfolios of investments, as of July 31, 2026, the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements and financial highlights”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2026, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 22, 2026
We have served as the auditor of one or more First Trust investment companies since 2001.
Page 27
Other Information
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)

Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)
There were no changes in or disagreements with the Funds’ accountants during the fiscal year ended July 31, 2026.
Proxy Disclosures (Item 9 of Form N-CSR)
At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the “Trust”) that was held on August 12, 2025 (the “Special Meeting”), shareholders of record as of June 9, 2025 (the “Record Date”) approved a proposal (the “Proposal”) to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the “Board”). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a “fund”) voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.
 
James A. Bowen*
Votes For
Votes Withheld
448,229,817
1,692,488
Thomas J. Driscoll**
Votes For
Votes Withheld
448,104,659
1,817,646
Richard E. Erickson*
Votes For
Votes Withheld
447,812,453
2,109,852
Thomas R. Kadlec*
Votes For
Votes Withheld
446,751,895
3,170,410
Denise M. Keefe***
Votes For
Votes Withheld
448,425,408
1,496,897
Robert F. Keith*
Votes For
Votes Withheld
447,967,349
1,954,956
Niel B. Nielson*
Votes For
Votes Withheld
447,968,834
1,953,471
Bronwyn Wright***
Votes For
Votes Withheld
200,751,188
249,171,117
 
*
This nominee was re-elected to the Board at the Special Meeting.
**
This nominee was elected to the Board as a new Trustee at the Special Meeting.
***
This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.
Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)
Independent Trustees of each Fund are compensated through the unitary management fee paid by each Fund to the advisor and not directly by each Fund. The investment advisory fee paid is included in the Statements of Operations.
Statement Regarding the Basis for the Board’s Approval of Investment Advisory Contract (Item 11 of Form N-CSR)
The Board of Trustees of First Trust Exchange-Traded Fund III (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Advisory Agreement”) with First Trust Advisors L.P. (the “Advisor”) and the Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement” and together with the Advisory Agreement,
Page 28
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
the “Agreements”) among the Trust, the Advisor and Horizon Investments, LLC (the “Sub-Advisor”) on behalf of each of the following series of the Trust (each a “Fund” and collectively, the “Funds”):
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Domestic ETF (HUSV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
The Board approved the continuation of the Agreements for each Fund for a one-year period ending June 30, 2027 at a meeting held on June 7–8, 2026. The Board determined for each Fund that the continuation of the Agreements is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.
To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 13, 2026 and June 7–8, 2026, the Board, including the Independent Trustees, reviewed materials provided by the Advisor and the Sub-Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor and the Sub-Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the sub-advisory fee as compared to fees charged to other clients of the Sub-Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”), and the Sub-Advisor; and information on the Advisor’s and the Sub-Advisor’s compliance programs. The Board reviewed initial materials with the Advisor at the meeting held on April 13, 2026, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 7–8, 2026 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor continue to be reasonable business arrangements from each Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the Fund’s unitary fee.
In reviewing the Agreements for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor oversees the Sub-Advisor’s day-to-day management of each Fund’s investments, including portfolio risk monitoring and performance review. The Board considered that the Sub-Advisor is responsible for the selection and ongoing monitoring of the securities in the Funds’ investment portfolios, but that the Advisor executes each Fund’s portfolio trades. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s, the Sub-Advisor’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 13, 2026 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the
Page 29
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
quality of services provided to the Funds and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, the Board noted that each Fund is an actively-managed ETF and the Sub-Advisor actively manages the Fund’s investments. The Board reviewed the materials provided by the Sub-Advisor and considered the services that the Sub-Advisor provides to each Fund, including the Sub-Advisor’s day-to-day management of the Funds’ investments. In considering the Sub-Advisor’s management of the Funds, the Board noted the background and experience of the Sub-Advisor’s portfolio management team, including the Board’s prior meetings with members of the portfolio management team. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed each Fund consistent with its investment objective, policies and restrictions.
The Board considered the unitary fee rate schedule payable by each Fund under the Advisory Agreement for the services provided. The Board noted that the sub-advisory fee for each Fund is paid by the Advisor from the Fund’s unitary fee. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund’s expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Advisory Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for HDMV was above the median total (net) expense ratio of the peer funds in its Expense Group and that the total (net) expense ratio for each of HUSV and HSMV was below the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board also noted that, for each Fund, not all peer funds employ an advisor/sub-advisor management structure. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedules overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and the Sub-Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund’s performance. The Board also received and reviewed information comparing each Fund’s performance for periods ended December 31, 2025 to the performance of the funds in its Performance Universe and to that of a benchmark index. The Board noted the Advisor’s discussion of HDMV’s, HUSV’s and HSMV’s performance at the April 13, 2026 meeting.
On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund (out of which the Sub-Advisor is compensated) continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to each Fund under the Agreements.
The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board noted that the unitary fee rate schedule for each Fund includes breakpoints pursuant to which the unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure, including technology, and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Funds. The Board concluded that the unitary fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2025 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the
Page 30
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
Advisor’s profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP the exposure of their products to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.
The Board considered the Sub-Advisor’s statements to the effect that it is difficult to know if or precisely when measurable economies of scale will be achieved for the Sub-Advisor and that the Sub-Advisor presumes expenses related to providing services will remain approximately the same over the next twelve months. The Board noted that the Advisor pays the Sub-Advisor for each Fund from the unitary fee, that the sub-advisory fee will be reduced consistent with the breakpoints in the unitary fee rate schedule and its understanding that each Fund’s sub-advisory fee was the product of an arm’s length negotiation. The Board did not review the profitability of the Sub-Advisor with respect to each Fund. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered the potential indirect benefits to the Sub-Advisor from being associated with the Advisor and the Funds. The Board noted that the Sub-Advisor is not responsible for coordinating execution of Fund trades and that the only known indirect benefit the Sub-Advisor possibly receives from managing the Funds is publicity related to managing an ETF for a third party. The Board concluded that the character and amount of potential indirect benefits to the Sub-Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board’s analysis.
Federal Tax Information
For the taxable year ended July 31, 2026, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations:
 
 
Dividends Received
Deduction
First Trust Horizon Managed Volatility Domestic ETF
100.00
%
First Trust Horizon Managed Volatility Developed
International ETF
0.00
%
First Trust Horizon Managed Volatility Small/Mid ETF
68.44
%
For the taxable year ended July 31, 2026, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income:
 
 
Qualified Dividend
Income
First Trust Horizon Managed Volatility Domestic ETF
100.00
%
First Trust Horizon Managed Volatility Developed
International ETF
70.70
%
First Trust Horizon Managed Volatility Small/Mid ETF
68.44
%
A portion of each of the Funds’ 2026 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2026, may be eligible for the Qualified Business Income (QBI) Deduction under the Internal Revenue Code of 1986, as amended (the “Code”), Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in.
The following Fund meets the requirements of Section 853 of the Code and elects to pass through to its shareholders credit for foreign taxes paid. For the taxable year ended July 31, 2026, the total amounts of income received by the Fund from sources within foreign countries and possessions of the United States and of taxes paid to such countries are as follows:
 
 
Gross Foreign Income
Foreign Taxes Paid
 
Amount
Per Share
Amount
Per Share
First Trust Horizon Managed Volatility Developed International
ETF
$836,104
$1.86
$13,562
$0.03
Page 31
 
 
 
Annual Financial
Statements and
Other Information
For the Year Ended
July 31, 2026
 
First Trust Exchange-Traded Fund III
 
First Trust Equity Market Neutral ETF (NTRL)
(formerly known as First Trust Merger Arbitrage ETF (MARB))
Table of Contents 
First Trust Equity Market Neutral ETF (NTRL)
Annual Financial Statements and Other Information
July 31, 2026 
Performance and Risk Disclosure
There is no assurance that First Trust Equity Market Neutral ETF (the “Fund”) will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
First Trust Advisors L.P., the Fund’s advisor, may also periodically provide additional information on Fund performance on the Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data that provides insight into the Fund’s performance and investment approach.
The material risks of investing in the Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
First Trust Equity Market Neutral ETF (NTRL)
Portfolio of Investments
July 31, 2026
 
Shares
Description
Value
RIGHTS — 0.0%
Biotechnology — 0.0%
69,580
89bio, Inc., expiring
December 31,
2035 (a) (b) (c) (d)
$0
43,869
Chinook Therapeutics, Inc.,
expiring December 21,
2029 (a) (b) (c) (d)
0
100,745
Icosavax, Inc., expiring
January 1, 2029 (a) (b) (c) (d)
0
20,075
Metsera, Inc., no expiration
date (a) (b) (c) (d)
0
 
0
Capital Markets — 0.0%
11,879
TPG, Inc., expiring
September 25,
2027 (a) (b) (c) (d)
0
Consumer Staples Distribution
& Retail — 0.0%
76,307
Walgreens Boots Alliance, Inc.,
no expiration
date (a) (b) (c) (d)
0
Health Care Equipment &
Supplies — 0.0%
7,137
ABIOMED, Inc., expiring
December 31,
2029 (a) (b) (c) (d)
0
97,345
Paragon 28, Inc., expiring
December 31,
2026 (a) (b) (c) (d)
0
 
0
Pharmaceuticals — 0.0%
39,856
Mirati Therapeutics, Inc.,
expiring January 23,
2031 (a) (b) (c) (d)
0
Total Rights
0
(Cost $0)
Shares
Description
Value
MONEY MARKET FUNDS — 83.6%
13,453,017
BNY Dreyfus Government Cash
Management Fund,
Institutional Shares -
3.56% (e)
$13,453,017
141,528
Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional Class -
3.54% (e)
141,528
Total Money Market Funds
13,594,545
(Cost $13,594,545)
Total Investments — 83.6%
13,594,545
(Cost $13,594,545)
Net Other Assets and
Liabilities — 16.4%
2,663,031
Net Assets — 100.0%
$16,257,576
 
(a)
Pursuant to procedures adopted by the Trust’s Board of
Trustees, this security has been determined to be illiquid by
First Trust Advisors L.P. (the “Advisor”).
(b)
Non-income producing security.
(c)
This security is fair valued by the Advisor’s Pricing
Committee in accordance with procedures approved by the
Trust’s Board of Trustees, and in accordance with provisions
of the Investment Company Act of 1940 and rules
thereunder, as amended. At July 31, 2026, securities noted as
such are valued at $0 or 0.0% of net assets.
(d)
This security’s value was determined using significant
unobservable inputs (see Note 2A - Portfolio Valuation in the
Notes to Financial Statements).
(e)
Rate shown reflects yield as of July 31, 2026.
See Notes to Financial Statements
Page 1
First Trust Equity Market Neutral ETF (NTRL)
Portfolio of Investments (Continued)
July 31, 2026
TOTAL RETURN SWAPS at July 31, 2026 (See Note 2D - Swap Agreements in the Notes to Financial Statements):
 
Counterparty
Reference
Instrument
Fund
Pays
Fund Receives
Termination
Date
Periodic
Payment
Frequency
Notional
Amount
Market
Value
Unrealized
Appreciation/
(Depreciation)
BNP
Custom basket of
long equity
positions(1)
SOFR + 1.05%
Return from basket of
long equity
positions(1)
7/14/2027
Monthly
$10,219,034
$82,938
$82,938
BNP
Custom basket of
short equity
positions(1)
Return from basket of
short equity
positions(1)
SOFR + 0.70%
7/14/2027
Monthly
(9,481,478
)
130,602
130,602
CITI
Custom basket of
long equity
positions(1)
OBFR + 0.45%
Return from basket of
long equity
positions(1)
8/12/2027
Monthly
12,070,059
89,602
89,602
CITI
Custom basket of
short equity
positions(1)
Return from basket of
short equity
positions(1)
OBFR + 0.00%
8/12/2027
Monthly
(10,286,406
)
91,388
91,388
JPM
Custom basket of
long equity
positions(1)
SOFR + 1.10%
Return from basket of
long equity
positions(1)
7/30/2027
Monthly
8,898,788
—
—
JPM
Custom basket of
short equity
positions(1)
Return from basket of
short equity
positions(1)
SOFR + 0.80%
7/30/2027
Monthly
(7,562,484
)
—
—
 
 
 
 
 
$394,530
$394,530
 
(1)
Please visit the Fund’s News & Literature website at https://www.ftportfolios.com/Retail/Etf/EtfFundNews.aspx?Ticker=NTRL
for detailed information about long and short equity positions in each basket. 
 
Abbreviations throughout the Portfolio of Investments:
BNP
–  BNP Paribas
CITI
–  Citibank N.A.
JPM
–  JPMorgan Chase and Co.
OBFR
–  Overnight Bank Funding Rate
SOFR
–  Secured Overnight Financing Rate
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Rights*
$—
**
$—
$—
$—
**
Money Market Funds
13,594,545
13,594,545
—
—
Total Investments
13,594,545
13,594,545
—
—
Total Return Swaps
394,530
—
394,530
—
Total
$13,989,075
$13,594,545
$394,530
$—
**
 
*
See Portfolio of Investments for industry breakout.
**
Investments are valued at $0.
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
See Notes to Financial Statements
Page 2
First Trust Equity Market Neutral ETF (NTRL)
Statement of Assets and Liabilities
July 31, 2026
 
ASSETS:
Investments, at value
$13,594,545
Due from broker
267,288
Cash segregated as collateral
1,970,000
Unrealized appreciation on swap contracts
394,530
Receivables:
Dividends
45,143
Margin interest rebate
219
Total Assets
16,271,725
 
LIABILITIES:
Investment advisory fees payable
14,149
Total Liabilities
14,149
NET ASSETS
$16,257,576
 
NET ASSETS consist of:
Paid-in capital
$14,854,318
Par value
7,500
Accumulated distributable earnings (loss)
1,395,758
NET ASSETS
$16,257,576
NET ASSET VALUE, per share
$21.68
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)
750,002
Investments, at cost
$13,594,545
See Notes to Financial Statements
Page 3
First Trust Equity Market Neutral ETF (NTRL)
Statement of Operations
For the Year Ended July 31, 2026
 
INVESTMENT INCOME:
Dividends
$713,406
Margin interest rebate
39,090
Foreign withholding tax
(520
)
Total investment income
751,976
 
EXPENSES:
Investment advisory fees
384,617
 
Dividend expense on investments sold short
20,379
Other expenses
2,522
Total expenses
407,518
NET INVESTMENT INCOME (LOSS)
344,458
 
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments
1,159,140
In-kind redemptions
58,338
Investments sold short
50,455
Swap contracts
141,383
Net realized gain (loss)
1,409,316
Net change in unrealized appreciation (depreciation) on:
Investments
(200,612
)
Swap contracts
394,530
Net change in unrealized appreciation (depreciation)
193,918
NET REALIZED AND UNREALIZED GAIN (LOSS)
1,603,234
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
$1,947,692
See Notes to Financial Statements
Page 4
First Trust Equity Market Neutral ETF (NTRL)
Statements of Changes in Net Assets
 
 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
OPERATIONS:
Net investment income (loss)
$344,458
$276,921
Net realized gain (loss)
1,409,316
1,112,371
Net change in unrealized appreciation (depreciation)
193,918
353,322
Net increase (decrease) in net assets resulting from operations
1,947,692
1,742,614
 
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations
(1,064,381
)
(513,881
)
 
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold
8,269,347
 
7,957,076
 
Cost of shares redeemed
(27,073,453
) 
(5,989,375
) 
Net increase (decrease) in net assets resulting from shareholder transactions
(18,804,106
)
1,967,701
Total increase (decrease) in net assets
(17,920,795
)
3,196,434
 
NET ASSETS:
Beginning of period
34,178,371
30,981,937
End of period
$16,257,576
$34,178,371
 
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period
1,650,002
1,550,002
Shares sold
400,000
400,000
Shares redeemed
(1,300,000
)
(300,000
)
Shares outstanding, end of period
750,002
1,650,002
See Notes to Financial Statements
Page 5
First Trust Equity Market Neutral ETF (NTRL)
Financial Highlights
For a share outstanding throughout each period
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$20.71
$19.99
$20.00
$20.01
$19.55
Income from investment operations:
Net investment income (loss) (a)
0.23
 
0.18
 
0.24
 
0.23
 
(0.24
) 
Net realized and unrealized gain (loss)
1.36
 
0.90
 
0.21
 
0.01
 (b)
0.70
 
Total from investment operations
1.59
 
1.08
 
0.45
 
0.24
 
0.46
 
Distributions paid to shareholders from:
Net investment income
(0.20
) 
(0.36
) 
(0.28
) 
(0.15
) 
—
 
Net realized gain
(0.42
) 
—
 
(0.18
) 
(0.10
) 
—
 
Total distributions
(0.62
) 
(0.36
) 
(0.46
) 
(0.25
) 
—
 
Net asset value, end of period
$21.68
 
$20.71
 
$19.99
 
$20.00
 
$20.01
 
Total return (c)
7.90
% 
5.46
% 
2.26
% 
1.17
% 
2.35
% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$16,258
 
$34,178
 
$30,982
 
$68,995
 
$44,031
 
Ratio of total expenses to average net assets
1.31
% (d)
1.65
% (d)
1.70
% 
1.80
% 
1.87
% 
Ratio of total expenses to average net assets excluding dividend
expense and margin interest expense
1.24
% (d)
1.25
% (d)
1.25
% 
1.25
% 
1.25
% 
Ratio of net investment income (loss) to average net assets
1.10
% (d)
0.90
% (d)
1.20
% 
1.17
% 
(1.23
)% 
Portfolio turnover rate (e)
377
% 
195
% 
301
% 
367
% 
246
% 
 
(a)
Based on average shares outstanding.
(b)
The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and
repurchases in relation to market value fluctuation of the underlying investments.
(c)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year.
(d)
Ratios of total expenses to average net assets and ratio of net investment income (loss) to average net assets do not reflect the Fund’s
proportionate share of expenses and income of underlying investment companies in which the Fund invests.
(e)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 6
Notes to Financial Statements
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026

1. Organization
First Trust Exchange-Traded Fund III (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
This report covers the First Trust Equity Market Neutral ETF (formerly known as First Trust Merger Arbitrage ETF) (the “Fund”), a non-diversified series of the Trust, which trades under the ticker “NTRL” (formerly “MARB”) on NYSE Arca, Inc. As set forth in its prospectus dated June 22, 2026 and effective June 24, 2026, the Fund’s name and ticker changed to its current name and ticker. The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.”
The Fund is an actively managed exchange-traded fund. The investment objective of the Fund is to seek to provide investors with capital appreciation. Under normal market conditions, the Fund seeks to invest at least 80% of its net assets (plus any borrowings for investment purposes) in derivative instruments (exchange-traded or over-the-counter) that provide exposure to U.S exchange-listed equity securities, U.S. exchange-traded funds (“ETFs”) that provide exposure to U.S. exchange-listed equity securities (directly or through derivatives) and/or U.S. exchange-listed equity securities. The Fund seeks an equity market neutral approach where the overall performance of the Fund is driven primarily by the net performance of long and short positions, independent of directional movements in the market. The Fund expects to maintain long and short positions primarily through the use of total return swaps. The Fund may also include long and short positions in U.S. exchange-listed equity securities, including exposure obtained through ETFs and futures.
Prior to June 24, 2026, under normal market conditions, the Fund sought to achieve its investment objective by establishing long and short positions in the equity securities of companies that were involved in a publicly-announced significant corporate event, such as a merger or acquisition. The Fund’s portfolio included equity securities issued by U.S. and non-U.S. companies, including American Depositary Receipts, and derivatives, including total return swaps. The Fund could invest in securities issued by small, mid and large capitalization issuers.
2. Significant Accounting Policies
The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
The Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. The Fund’s NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:
Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq, Inc. (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one
Page 7
Notes to Financial Statements (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026
securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.
Shares of open-end funds are valued based on NAV per share.
Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.
Swaps are fair valued utilizing quotations provided by a third-party pricing service or, if the third-party pricing service does not provide a value, by quotes provided by the selling dealer or financial institution.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
 1)
the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;
 2)
the type of security;
 3)
the size of the holding;
 4)
the initial cost of the security;
 5)
transactions in comparable securities;
 6)
price quotes from dealers and/or third-party pricing services;
 7)
relationships among various securities;
 8)
information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
 9)
a review of the issuer’s financial statements;
10)
the existence of merger proposals or tender offers that might affect the value of the security; and
11)
other relevant factors.
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
•  Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•  Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o  Quoted prices for similar investments in active markets.
o  Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o  Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o  Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
•  Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of July 31, 2026, is included with the Fund’s Portfolio of Investments.
Page 8
Notes to Financial Statements (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis.
C. Short Sales
Short sales are utilized for investment and risk management purposes and are transactions in which securities or other instruments (such as options, forwards, futures or other derivative contracts) are sold by the Fund, but are not currently owned in the Fund’s portfolio. When the Fund engages in a short sale, the Fund must borrow the security sold short and deliver the security to the counterparty. Short selling allows the Fund to profit from a decline in a market price to the extent such decline exceeds the transaction costs and the costs of borrowing the securities. The Fund will pay a fee or premium to borrow the securities sold short and is obligated to repay the lenders of the securities. Any dividends or interest that accrues on the securities during the period of the loan are due to the lenders. A gain, limited to the price at which the security was sold short, or a loss, unlimited in size, will be recognized upon the termination of the short sale; which is affected by the Fund purchasing the security sold short and delivering the security to the lender. Any such gain or loss may be offset, completely or in part, by the change in the value of the long portion of the Fund’s portfolio. The Fund is subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Fund.
The Fund has established an account with BNP Paribas Prime Brokerage International, Ltd. for the purpose of borrowing securities that the Fund intends to sell short. The Fund is charged interest on debit margin balances at a rate equal to the Overnight Bank Funding Rate plus 85 basis points. With regard to securities held short, the Fund is credited a rebate equal to the market value of its short positions at a rate equal to the Overnight Bank Funding Rate less 35 basis points. This rebate rate applies to easy to borrow securities. Securities that are hard to borrow may earn a rebate that is less than the foregoing or may be subject to a premium charge on a security by security basis. The different rebate rate is determined at the time of a short sale request. For the fiscal year ended July 31, 2026, the Fund had margin interest rebate of $39,090 as shown on the Statement of Operations.
D. Swap Agreements
The Fund may enter into swap agreements. A swap is a financial instrument that typically involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on agreed upon prices, rates, credit event, etc. Payment received or made by the Fund for swaps, if any, are recorded on the Statements of Operations as “Net realized gain (loss) on swap contracts.” When a swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts, if any, is the premium received or paid. Swap agreements are individually negotiated and involve the risk of the potential inability of the counterparties to meet the terms of the agreement. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. In the event of a default by a counterparty, the Fund will seek withdrawal of the collateral and may incur certain costs exercising its rights with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
Swap agreements may increase or decrease the overall volatility of the investments of the Fund. The performance of swap agreements may be affected by changes in the specific interest rate, credit event, security, currency, or other factors that determine the amounts of payments due to and from the Fund. The notional amount represents the U.S. dollar value of the contract as of the day of the opening transaction or contract reset.
Total return swap agreements are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return.
The Fund may enter into total return swap contracts for investment purposes. Swap agreements may be privately negotiated in the over-the-counter market as a bilateral contract or centrally cleared.
Page 9
Notes to Financial Statements (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026
E. Dividends and Distributions to Shareholders
Dividends from net investment income of the Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually. The Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid during the fiscal years ended July 31, 2026 and 2025 was as follows:
 
Distributions paid from:
2026
2025
Ordinary income
$1,064,381
$513,881
Capital gains
—
—
Return of capital
—
—
As of July 31, 2026, the components of distributable earnings on a tax basis for the Fund were as follows:
 
Undistributed ordinary income
$1,001,228
Accumulated capital and other gain (loss)
—
Net unrealized appreciation (depreciation)
394,530
F. Income Taxes
The Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2023, 2024, 2025, and 2026 remain open to federal and state audit. As of July 31, 2026, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions.
The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2026, the Fund had no capital loss carryforwards available for federal income tax purposes.
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2026, the Fund had no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Fund and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2026, the adjustments for the Fund were as follows:
 
Page 10
Notes to Financial Statements (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026
Accumulated
Net Investment
Income (Loss)
Accumulated
Net Realized
Gain (Loss)
on Investments
Paid-In
Capital
$946,598
$(1,409,316
)
$462,718
As of July 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:
 
Tax Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
(Depreciation)
Net Unrealized
Appreciation
(Depreciation)
$13,586,212
$402,863
$—
$402,863
G. Expenses
Expenses, other than the investment advisory fee, dividend and interest expenses on investments sold short and other excluded expenses, are paid by the Advisor (see Note 3).
H. Segment Reporting
An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of the Fund. The Fund operates as a single operating segment. The Fund’s income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of the Fund, using the information presented in the financial statements and financial highlights.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for supervising the selection and ongoing monitoring of the securities in the Fund’s portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.
Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Fund’s assets and is responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, expenses associated with short sales transactions, if any, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The annual unitary management fee payable by the Fund to First Trust for these services will be reduced at certain levels of the Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedule:
 
Breakpoints
 
Fund net assets up to and including $2.5 billion
0.95000
%
Fund net assets greater than $2.5 billion up to and including $5 billion
0.92625
%
Fund net assets greater than $5 billion up to and including $7.5 billion
0.90250
%
Fund net assets greater than $7.5 billion up to and including $10 billion
0.87875
%
Fund net assets greater than $10 billion
0.85500
%
Prior to June 24, 2026, the Fund paid First Trust an annual unitary management fee based on the Fund’s average daily net assets at the following rates:
 
Page 11
Notes to Financial Statements (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026
Breakpoints
 
Fund net assets up to and including $2.5 billion
1.25000
%
Fund net assets greater than $2.5 billion up to and including $5 billion
1.21875
%
Fund net assets greater than $5 billion up to and including $7.5 billion
1.18750
%
Fund net assets greater than $7.5 billion up to and including $10 billion
1.15625
%
Fund net assets greater than $10 billion
1.12500
%
Prior to June 24, 2026, First Trust Capital Management L.P. served as the Fund’s sub-advisor (the “Sub-Advisor”) and received a sub-advisory fee equal to 0.625% of the Fund’s average daily net assets of the Fund less the amount of fund expenses owed by the Sub-Advisor.
First Trust Capital Partners, LLC, an affiliate of First Trust, owns a 46% ownership interest in First Trust Capital Management L.P. through First Trust Capital Solutions L.P.
The Trust has multiple service agreements with The Bank of New York Mellon (“BNY”). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BNY is responsible for custody of the Fund’s assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of the Fund’s securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for the Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.
Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Purchases and Sales of Securities
For the fiscal year ended July 31, 2026, the cost of purchases and proceeds from sales of investments, excluding short-term investments, investments sold short and in-kind transactions, were $59,024,708 and $75,323,340, respectively. The cost of purchases to cover short sales and the proceeds from short sales were $4,219,324 and $4,168,869, respectively.
For the fiscal year ended July 31, 2026, the cost of in-kind purchases and proceeds from in-kind sales were $4,307,641 and $7,228,880, respectively. For the fiscal year ended July 31, 2026, the Fund had no in-kind transactions in investments sold short.
5. Derivative Transactions
The following table presents the types of derivatives held by the Fund at July 31, 2026, the primary underlying risk exposure and the location of these instruments as presented on the Statement of Assets and Liabilities.
 
 
 
Asset Derivatives
Liability Derivatives
Derivative
Instrument
Risk
Exposure
Statement of Assets and
Liabilities Location
Value
Statement of Assets and
Liabilities Location
Value
Swap contracts
Equity Risk
Unrealized appreciation on
swap contracts
$394,530
Unrealized depreciation on
swap contracts
$—
Page 12
Notes to Financial Statements (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended July 31, 2026, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments.
 
Statement of Operations Location
Equity Risk Exposure
Net realized gain (loss) on swap contracts
$141,383
Net change in unrealized appreciation
(depreciation) on swap contracts
394,530
The average notional value of total return swaps outstanding during the period ended July 31, 2026, which is indicative of the volume of this derivative type for was $11,703,650.
6. Offsetting on the Statement of Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statement of Assets and Liabilities and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions.
For financial reporting purposes, the Fund does not offset financial assets and financial liabilities that are subject to master netting arrangements (“MNAs”) or similar agreements on the Statement of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral.
At July 31, 2026, derivative assets and liabilities (by type) on a gross basis are as follows:
 
Counterparty
Gross
Amount of
Recognized
Assets
Gross Amount
Offset in the
Statement of
Assets and
Liabilities
Net Amount
of Assets
Presented in the
Statement of
Assets and
Liabilities
Gross Amount Not Offset
in the Statement of
Assets and Liabilities
Net
Amount
Financial
Instruments
Cash Collateral
Received
Total Return Swap Agreements
BNP Paribas
$213,540
$—
$213,540
$—
$—
$213,540
Citibank N.A.
180,990
—
180,990
—
—
180,990
 
$394,530 
$— 
$394,530 
$— 
$— 
$394,530 
 
 
Counterparty
Gross
Amount of
Recognized
Liabilities
Gross Amount
Offset in the
Statement of
Assets and
Liabilities
Net Amount
of Liabilities
Presented in the
Statement of
Assets and
Liabilities
Gross Amount Not Offset
in the Statement of
Assets and Liabilities
Net
Amount
Financial
Instruments
Cash Collateral
Pledged
Total Return Swap Agreements
BNP Paribas
$—
$—
$—
$—
$—
$—
Citibank N.A.
—
—
—
—
—
—
 
$— 
$— 
$— 
$— 
$— 
$— 
7. Creations, Redemptions and Transaction Fees
The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with the Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in Creation Units. Prior to the start of trading on every business day, the Fund publishes through the National Securities Clearing Corporation the
Page 13
Notes to Financial Statements (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026
“basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of the Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of the Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in the Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund’s shares at or close to the NAV per share of the Fund.
The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
8. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.
9. Indemnification
The Trust, on behalf of the Fund, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
10. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
Page 14
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund III:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of First Trust Equity Market Neutral ETF (formerly known as First Trust Merger Arbitrage ETF) ⁠(the “Fund”), one of the funds constituting the First Trust Exchange-Traded Fund III, as of July 31, 2026, the related statement ⁠of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements and financial highlights”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2026, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 24, 2026
We have served as the auditor of one or more First Trust investment companies since 2001.
Page 15
Other Information
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026 (Unaudited)

Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)
There were no changes in or disagreements with the Fund’s accountants during the fiscal year ended July 31, 2026.
Proxy Disclosures (Item 9 of Form N-CSR)
At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the “Trust”) that was held on August 12, 2025 (the “Special Meeting”), shareholders of record as of June 9, 2025 (the “Record Date”) approved a proposal (the “Proposal”) to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the “Board”). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a “fund”) voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.
 
James A. Bowen*
Votes For
Votes Withheld
448,229,817
1,692,488
Thomas J. Driscoll**
Votes For
Votes Withheld
448,104,659
1,817,646
Richard E. Erickson*
Votes For
Votes Withheld
447,812,453
2,109,852
Thomas R. Kadlec*
Votes For
Votes Withheld
446,751,895
3,170,410
Denise M. Keefe***
Votes For
Votes Withheld
448,425,408
1,496,897
Robert F. Keith*
Votes For
Votes Withheld
447,967,349
1,954,956
Niel B. Nielson*
Votes For
Votes Withheld
447,968,834
1,953,471
Bronwyn Wright***
Votes For
Votes Withheld
200,751,188
249,171,117
 
*
This nominee was re-elected to the Board at the Special Meeting.
**
This nominee was elected to the Board as a new Trustee at the Special Meeting.
***
This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.
Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)
Independent Trustees of the Fund are compensated through the unitary management fee paid by the Fund to the advisor and not directly by the Fund. The investment advisory fee paid is included in the Statement of Operations.
Statement Regarding the Basis for the Board’s Approval of Investment Advisory Contract (Item 11 of Form N-CSR)
The Board of Trustees of First Trust Exchange-Traded Fund III (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”) on behalf of the First Trust Equity Market Neutral ETF (formerly known as First Trust Merger Arbitrage ETF) (the “Fund”). The Board approved the continuation of the Agreement for a one-year period ending June 30, 2027 at a meeting held on June 7–8, 2026. The Board determined that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.
Page 16
Other Information (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026 (Unaudited)
To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 13, 2026 and June 7–8, 2026, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by the Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 13, 2026, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 7–8, 2026 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from the Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor manages the Fund and knowing the Fund’s unitary fee.
In reviewing the Agreement, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board noted that, at its January 23, 2026 meeting, it had approved the termination of the Investment Sub-Advisory Agreement with the Fund’s previous investment sub-advisor, that the Advisor would assume management of the Fund’s investments on or about June 22, 2026 and that the Fund would adopt a market neutral investment strategy. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the Fund, as well as the background and experience of the persons responsible for such services. The Board noted that the Fund is an actively-managed ETF and noted that the Advisor’s Alternatives Investment Team would be responsible for the day-to-day management of the Fund’s investments. The Board considered the background and experience of the members of the Alternatives Investment Team. The Board considered the Advisor’s statement that it would apply the same oversight model internally with its Alternatives Investment Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and the Fund’s compliance with the 1940 Act, as well as the Fund’s compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 13, 2026 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. In addition to the written materials provided by the Advisor, at the June 7–8, 2026 meeting, the Board also received a presentation from the Advisor’s Alternatives Investment Team. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided and to be provided to the Trust and the Fund by the Advisor under the Agreement have been and are expected to remain satisfactory.
The Board considered the unitary fee rate schedule payable by the Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for the Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary
Page 17
Other Information (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026 (Unaudited)
fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because the Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Fund and other non-ETF clients that limited their comparability. The Board also noted that, at the January 23, 2026 meeting, it approved a reduced management fee rate for the Fund to 0.95% to take effect with the Fund’s strategy changes. In considering the unitary fee rate schedule overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to the Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. The Board also received and reviewed information comparing the Fund’s performance for periods ended December 31, 2025 to the performance of the funds in the Performance Universe and to that of a benchmark index. The Board noted that, at its January 23, 2026 meeting, it had approved the termination of the investment sub-advisory agreement with the Fund’s previous investment sub-advisor, that the Advisor would assume management of the Fund’s investments on or about June 22, 2026, that the Fund would adopt a market neutral investment strategy, and that the performance information for the Fund represented the performance of the Fund’s previous investment sub-advisor using a merger arbitrage investment strategy.
On the basis of all the information provided on the unitary fee and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for the Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund at current asset levels and whether the Fund may benefit from any economies of scale. The Board noted that the unitary fee rate schedule for the Fund includes breakpoints pursuant to which the unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Fund will increase during the next twelve months as the Advisor continues to build infrastructure, including technology, and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Fund. The Board concluded that the unitary fee rate schedule for the Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2025 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP the exposure of their products to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.
Page 18
Other Information (Continued)
First Trust Equity Market Neutral ETF (NTRL)
July 31, 2026 (Unaudited)
Federal Tax Information
For the taxable year ended July 31, 2026, the following percentages of income dividends paid by the Fund qualify for the dividends received deduction available to corporations and are hereby designated as qualified dividend income:
 
Dividends Received Deduction
Qualified Dividend Income
10.35
%
10.35
%
A portion of the ordinary dividends (including short-term capital gains) that the Fund paid to its shareholders during the fiscal year ended July 31, 2026, may be eligible for the Qualified Business Income (QBI) Deduction under the Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends the Fund received from the underlying Real Estate Investment Trusts (REITs) it invests in.
For the tax year ended July 31, 2026, the Fund designated $409,508, or amounts necessary, as short and long-term capital gains. During the tax year, Fund shareholders redeemed amounts in excess of short and long-term capital gains and of these proceeds, $409,508, or amounts necessary, represents the total short-term and long-term capital gains from the Fund.
Page 19
 
 
 
Annual Financial
Statements and
Other Information
For the Year Ended
July 31, 2026
 
First Trust Exchange-Traded Fund III
 
First Trust California Municipal High Income ETF (FCAL)
First Trust New York Municipal High Income ETF (FMNY)
Table of Contents 
First Trust Exchange-Traded Fund III
Annual Financial Statements and Other Information
July 31, 2026 
Performance and Risk Disclosure
There is no assurance that any series of First Trust Exchange-Traded Fund III (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, as the “Funds”) will achieve its investment objectives. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
First Trust Advisors L.P., the Funds’ advisor, may also periodically provide additional information on Fund performance on each Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data that provides insight into each Fund’s performance and investment approach.
The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments
July 31, 2026
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS — 98.6%
California — 94.5%
$685,000
Alameda CA Unif Sch Dist Alameda Cnty Election of 2022, Ser
C (a)
5.00%
08/01/47
$731,092
600,000
Albany CA Unif Sch Dist Election of 2024
5.00%
08/01/50
632,463
540,000
Albany CA Unif Sch Dist Ref
5.00%
08/01/42
596,395
585,000
Albany CA Unif Sch Dist Ref
5.00%
08/01/43
642,188
2,000,000
Anaheim CA Hsg & Pub Impt Auth Rev Var Wtr Sys Proj Second
Lien, Ser A (b)
2.80%
10/01/54
2,000,000
250,000
Atascadero CA Fing Auth Lease Rev, Ser A
5.00%
05/01/44
266,874
250,000
Atascadero CA Fing Auth Lease Rev, Ser A
5.00%
05/01/45
265,282
1,200,000
Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt, AG
5.00%
09/01/44
1,222,454
1,000,000
Bay Area CA Toll Auth Toll Bridge Rev Sustainable Bond, Ser F-2
5.00%
04/01/44
1,067,704
1,000,000
Bay Area CA Toll Auth Toll Bridge Rev Var, Ser H (b)
2.70%
04/01/59
1,000,000
100,000
Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F
4.00%
09/01/33
99,380
1,250,000
Burbank CA Wtr & Pwr Elec Rev
5.00%
06/01/43
1,313,593
1,000,000
Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B,
AMT
5.25%
07/01/40
1,074,233
750,000
Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B,
AMT
5.25%
07/01/44
792,487
1,625,000
Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B,
AMT
5.25%
07/01/49
1,682,409
20,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bond, Ser A (Mandatory put 12/01/27)
4.00%
10/01/52
20,147
2,000,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bond, Ser A-1 (Mandatory put 04/01/32)
5.00%
05/01/54
2,087,833
635,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bond, Ser E (Mandatory put 09/01/32)
5.00%
02/01/55
665,047
925,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var
Sustainable Bond, Ser A-1 (Mandatory put 08/01/29)
5.00%
12/01/53
957,668
1,000,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var
Sustainable Bonds, Ser C (Mandatory put 10/01/31)
5.25%
01/01/54
1,048,590
455,000
CA Hsg Fin Agy Affordable Hsg Rev Sustainable Bonds, Ser B
4.35%
02/01/43
447,822
370,989
CA Hsg Fin Agy Muni Ctfs, Ser A
4.25%
01/15/35
377,391
250,000
CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Sustainable
Bond, Ser A (c)
5.00%
11/15/56
219,851
1,000,000
CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (c)
5.00%
07/01/43
976,053
250,000
CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp,
Ser A (c)
5.00%
07/01/42
247,069
175,000
CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp,
Ser A (c)
5.00%
07/01/43
171,773
185,000
CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp,
Ser A (c)
5.00%
07/01/44
180,631
105,000
CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (c)
5.00%
07/01/27
106,382
200,000
CA Sch Fin Auth Sch Fac Rev Ref Hth Learning Proj, Ser A (c)
5.00%
07/01/32
201,109
545,000
CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (c)
5.00%
07/01/40
547,342
450,000
CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (c)
5.25%
07/01/48
450,762
450,000
CA St Eductnl Facs Auth Rev Art Ctr Clg of Design, Ser A
5.00%
12/01/31
477,400
900,000
CA St Eductnl Facs Auth Rev Ref Loma Linda Univ, Ser A
5.00%
04/01/47
885,182
275,000
CA St Enterprise Dev Auth Chrt Sch Rev Ref The Rocklin Acdmy
Proj, Ser A (c)
4.00%
06/01/36
261,816
500,000
CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy
Proj (c)
5.00%
06/01/34
514,649
See Notes to Financial Statements
Page 1
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$750,000
CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy
Proj (c)
5.00%
06/01/44
$743,496
2,500,000
CA St Enterprise Dev Auth Lease Rev Riverside Cnty Mead Vly
Wellness Vlg Proj, Ser A
5.25%
11/01/49
2,643,797
600,000
CA St Enterprise Dev Auth Rev Ref Sage Hill Sch Proj
5.00%
12/01/41
642,173
650,000
CA St Enterprise Dev Auth Stdt Hsg Rev Ref Pomona
Properties LLC Proj, Ser A
5.00%
01/15/39
671,210
500,000
CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A
5.25%
12/01/40
529,969
500,000
CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A
5.25%
12/01/41
526,719
500,000
CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A
5.25%
12/01/42
524,544
2,000,000
CA St Hlth Facs Fing Auth Rev Commonspirit Hlth, Ser A
5.00%
12/01/44
2,108,127
1,000,000
CA St Hlth Facs Fing Auth Rev Commonspirit Hlth, Ser A
5.25%
12/01/49
1,049,719
520,000
CA St Hlth Facs Fing Auth Rev Episcopal Cmntys & Svcs, Ser B
5.00%
11/15/33
561,447
1,000,000
CA St Hlth Facs Fing Auth Rev Episcopal Cmntys & Svcs, Ser B
5.25%
11/15/48
1,023,032
1,000,000
CA St Hlth Facs Fing Auth Rev Kaiser Permanente, Subser A-2
4.00%
11/01/44
935,200
1,240,000
CA St Hlth Facs Fing Auth Rev Ref El Camino Hlth, Ser A
5.00%
02/01/43
1,347,500
1,025,000
CA St Hlth Facs Fing Auth Rev Ref Scripps Hlth, Ser A
5.00%
11/15/42
1,099,548
500,000
CA St Hlth Facs Fing Auth Rev Ref Stanford Hlth Care, Ser A
5.00%
08/15/43
540,960
500,000
CA St Hlth Facs Fing Auth Rev Ref Stanford Hlth Care, Ser A
5.00%
08/15/44
537,043
750,000
CA St Hlth Facs Fing Auth Rev Var Ref El Camino Hlth, Ser C (b)
2.55%
02/01/55
750,000
1,000,000
CA St Hlth Facs Fing Auth Rev Var Ref Rady Childrens Hlth, Ser
B-3 (Mandatory put 08/15/36)
5.00%
08/15/65
1,129,337
585,000
CA St Infra & Econ Dev Bank Natl Chrt Equitable Sch Revolving
Fund Sustainable Bond, Ser B
4.00%
11/01/39
567,556
1,410,000
CA St Infra & Econ Dev Bank Rev Adventist Hlth Energy Proj,
Ser A
5.00%
07/01/40
1,467,731
250,000
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy
Proj (d)
5.38%
07/01/34
250,100
250,000
CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch
Proj (e)
5.38%
07/01/34
250,054
450,000
CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy
Proj, Ser A (c)
5.00%
07/01/38
449,629
2,000,000
CA St Muni Fin Auth Mf Hsg Rev 707 by Vintage, Ser A
4.40%
12/01/43
1,945,243
2,000,000
CA St Muni Fin Auth Mf Hsg Rev Gibson Drive Apartments
Proj, Ser A
4.45%
12/01/42
1,997,520
785,000
CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas
Projs, Ser A
5.00%
08/15/27
802,002
85,000
CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas
Projs, Ser A
3.00%
08/15/32
80,134
170,000
CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas
Proj, Ser B
3.00%
08/15/31
163,427
295,000
CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas
Proj, Ser B
4.00%
08/15/41
267,170
435,000
CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas
Proj, Ser B
4.00%
08/15/51
357,907
1,000,000
CA St Muni Fin Auth Mobile Home Park Rev Sustainable Bond
Ref Caritas Projs, Ser A
5.00%
08/15/49
1,005,947
1,000,000
CA St Muni Fin Auth Rev Aldersly Proj, Ser A
5.00%
05/15/43
1,065,146
1,500,000
CA St Muni Fin Auth Rev Bethany Home Proj
5.00%
11/15/42
1,592,602
500,000
CA St Muni Fin Auth Rev Clay Lacy Aviation Facs John Wayne
Arpt Orange Co Proj, AMT (c)
5.00%
01/01/41
505,457
See Notes to Financial Statements
Page 2
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$600,000
CA St Muni Fin Auth Rev Clay Lacy Aviation Facs John Wayne
Arpt Orange Co Proj, AMT (c)
6.00%
01/01/55
$627,086
1,000,000
CA St Muni Fin Auth Rev Cmnty Hlth Ctrs of the Centrl Coast
Inc, Ser A
5.50%
12/01/45
1,043,799
635,000
CA St Muni Fin Auth Rev Gateways Hosp And Mental Hlth
Ctr, Ser A
5.00%
09/01/41
637,791
675,000
CA St Muni Fin Auth Rev Gateways Hosp And Mental Hlth
Ctr, Ser A
5.00%
09/01/46
670,897
1,000,000
CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (c)
5.13%
11/01/40
1,016,080
525,000
CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (c)
5.38%
11/01/45
533,131
200,000
CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A
5.00%
07/01/32
201,908
1,345,000
CA St Muni Fin Auth Rev Ref Eskaton Properties Incorporated
Oblig Grp
5.00%
11/15/40
1,405,379
880,000
CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A
4.00%
10/01/34
880,048
800,000
CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A
4.00%
10/01/36
793,674
500,000
CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A
5.00%
10/01/44
500,596
600,000
CA St Muni Fin Auth Rev Ref S Central Los Angeles Regl Ctr Proj
5.00%
12/01/40
643,672
470,000
CA St Muni Fin Auth Rev Sfmta Potrero Yard Modernization
Proj, Ser A
5.00%
09/01/45
496,535
500,000
CA St Muni Fin Auth Rev Sfmta Potrero Yard Modernization
Proj, Ser A
5.50%
09/01/56
533,951
1,015,000
CA St Muni Fin Auth Rev St Ignatius Clg Prep, Ser A
5.00%
09/01/44
1,068,407
435,000
CA St Muni Fin Auth Sch Fac Rev St Mary’s Sch Aliso Viejo,
Ser A (c)
5.75%
05/01/54
435,721
385,000
CA St Muni Fin Auth Sch Fac Rev Temps St Mary’s Sch Aliso
Viejo, Ser B
4.65%
05/01/30
390,325
2,000,000
CA St Muni Fin Auth Sol Wst Disp Rev Var Draw Down Wst
Mgmt Proj Remk, Ser B, AMT (Mandatory put 06/01/27)
2.88%
11/01/41
1,999,273
1,250,000
CA St Muni Fin Auth Sol Wst Disp Rev Var Wst Mgmt Inc
Remk, Ser A, AMT (Mandatory put 12/01/26)
3.45%
12/01/44
1,251,325
1,600,000
CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT
4.00%
07/15/29
1,609,053
600,000
CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B
5.50%
09/01/43
623,308
550,000
CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B
5.75%
09/01/53
572,038
400,000
CA St Muni Fin Auth Spl Tax Rev Wildhawk N
5.00%
09/01/39
407,530
750,000
CA St Muni Fin Auth Spl Tax Rev Wildhawk N
5.00%
09/01/44
757,721
1,250,000
CA St Muni Fin Auth Spl Tax Rev Wildhawk N
5.00%
09/01/49
1,251,658
500,000
CA St Muni Fin Auth Stdt Hsg Rev CHF Davis I LLC W Vlg Stdt
Hsg Proj
5.00%
05/15/39
509,055
350,000
CA St Muni Fin Auth Stdt Hsg Rev CHF Davis I LLC W Vlg Stdt
Hsg Proj
5.00%
05/15/40
355,622
1,500,000
CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs
Inc Proj Remk, AMT (Mandatory put 08/17/26) (c)
2.88%
07/01/43
1,499,800
1,000,000
CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds,
AMT (c)
5.00%
11/21/45
1,000,655
1,500,000
CA St Poll Control Fing Auth Wtr Furnishing Rev Poseidon Res LP
Desalination Proj, AMT (c)
5.00%
07/01/36
1,598,287
15,000
CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B
5.00%
06/01/34
15,033
2,000,000
CA St Pub Wks Brd Lease Rev Sustainable Bond CA Air Res
Brd, Ser D
4.00%
05/01/37
2,042,662
1,110,000
CA St Pub Wks Brd Lease Rev Various Capital Projs, Ser D
5.00%
11/01/46
1,159,404
See Notes to Financial Statements
Page 3
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$250,000
CA St Sch Fin Auth Chrt Sch Rev Ref Alliance for Clg Ready Pub
Schs Proj (c)
5.00%
07/01/39
$258,370
1,000,000
CA St Sch Fin Auth Chrt Sch Rev Ref Alliance for Clg Ready Pub
Schs Proj (c)
5.00%
07/01/49
994,658
700,000
CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies
Oceanside Proj, Ser A (c)
5.00%
10/01/32
721,077
600,000
CA St Sch Fin Auth Chrt Sch Rev Sustainable Bonds Ref Camino
Nuevo Chrt Acdmy, Ser A (c)
5.00%
06/01/43
586,317
650,000
CA St Sch Fin Auth Eductnl Facs Rev Ref New Designs Chrt
Sch, Ser A (c)
5.00%
06/01/54
604,077
1,000,000
CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 2
5.00%
09/01/44
1,017,654
245,000
CA St Stwd Cmntys Dev Auth Stwd Rev Ref Stwd Cmnty Infra
Prog, Ser R-1, AG
5.00%
09/02/44
260,885
140,000
CA St Stwd Cmntys Dev Auth Stwd Rev Ref Stwd Cmnty Infra
Prog, Ser R-1, AG
5.00%
09/02/45
148,436
860,000
CA St Stwd Cmntys Dev Auth Stwd Rev, Ser C-2
5.00%
09/02/46
881,532
1,000,000
CA St Univ Rev Ref, Ser A
5.00%
11/01/43
1,092,391
770,000
CA St Unrefunded
5.00%
12/01/43
813,300
250,000
CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr,
Ser A (c)
5.00%
12/01/30
250,161
300,000
CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr,
Ser A (c)
5.00%
12/01/33
306,377
250,000
CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (c)
5.00%
11/01/32
250,919
500,000
CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (c)
5.00%
11/01/41
479,366
100,000
CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys &
Svcs, Ser A
5.00%
04/01/30
100,946
50,000
CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys &
Svcs, Ser A
4.00%
04/01/32
50,093
1,075,000
CA Stwd Cmntys Dev Auth Rev Ref John Muir Hlth, Ser A
5.25%
12/01/44
1,163,345
385,000
CA Stwd Cmntys Dev Auth Rev Var Adventist Hlth Sys W
Remk, Ser 2007-A (Mandatory put 03/01/27)
5.00%
03/01/37
385,524
1,665,000
Centrl Vly CA Energy Auth Cmdy Sply Rev
5.00%
08/01/34
1,742,174
2,000,000
Centrl Vly CA Energy Auth Cmdy Sply Rev Var (Mandatory put
08/01/35)
5.00%
12/01/55
2,089,615
660,000
Chabot Las Positas CA Cmnty Clg Dist Election of 2016, Ser D
5.00%
08/01/45
715,171
525,000
Chabot Las Positas CA Cmnty Clg Dist Election of 2016, Ser D
5.00%
08/01/47
559,892
450,000
Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7
5.00%
09/01/31
461,256
815,000
Clovis CA Unif Sch Dist, COPS
5.00%
06/01/41
878,187
500,000
Clovis CA Unif Sch Dist, COPS
5.00%
06/01/43
534,073
500,000
Corona CA Cmnty Facs Dist Spl Tax Bedford Impt Area No 2
5.00%
09/01/39
521,004
1,500,000
Corona Norco CA Unif Sch Dist Election of 2014, Ser D
5.00%
08/01/46
1,607,906
2,000,000
CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay
Sustainable Bonds, Ser A-2 (c)
4.00%
07/01/56
1,618,799
1,000,000
E Bay CA Muni Util Dist Wtr Sys Rev Ref, Ser B
5.00%
06/01/43
1,092,747
1,450,000
Elk Grove CA Fin Auth Spl Tax Rev Cmnty Facs Dt No 2005-1
Laguna Ridge
4.00%
09/01/50
1,223,576
175,000
Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist
#2018-80 Willow Springs
5.00%
09/01/34
184,184
175,000
Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist
#2018-80 Willow Springs
5.00%
09/01/35
182,845
See Notes to Financial Statements
Page 4
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$400,000
Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist
#2018-80 Willow Springs
5.00%
09/01/40
$411,752
350,000
Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No
19 Mangini
5.00%
09/01/32
354,447
1,500,000
Fontana CA Pub Fin Auth Lease Rev Ref, Ser A
5.00%
11/01/50
1,569,116
155,000
Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada
5.00%
09/01/29
157,537
500,000
Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada
5.00%
09/01/46
501,966
1,790,000
Fontana CA Spl Tax Cmnty Facs Dt #109
5.00%
09/01/39
1,850,422
600,000
Fontana CA Spl Tax Cmnty Facs Dt #111
5.00%
09/01/39
619,432
300,000
Fontana CA Spl Tax Cmnty Facs Dt #111
5.00%
09/01/48
301,784
1,000,000
Fontana CA Spl Tax The Gardens Phase One
5.00%
09/01/39
1,032,387
2,000,000
Fresno CA Jt Pwrs Fing Auth Lease Rev Pub Safety Projs, Ser A,
AG
5.25%
04/01/50
2,102,855
1,000,000
Garden Grove CA Pub Fing Auth Lease Rev, Ser A, BAM
5.00%
04/01/43
1,078,760
750,000
Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref,
Ser A-1 (Pre-refunded maturity 06/01/28)
5.00%
06/01/34
782,644
1,000,000
Imperial CA Cmnty Clg Dist Election of 2022, Ser A, AG
5.25%
08/01/53
1,048,954
575,000
Indio CA Elec Fing Auth Elec Rev
5.25%
01/01/41
620,013
570,000
Inglewood CA Jt Pwrs Auth Lease Rev Inglewood Main Library
Renovation and Seismic Retrofit Proj, BAM
5.00%
08/01/43
614,293
1,265,000
Inglewood CA Jt Pwrs Auth Lease Rev Inglewood Main Library
Renovation and Seismic Retrofit Proj, BAM
5.25%
08/01/50
1,339,589
775,000
Irvine CA Spl Tax Ref Cmnty Facs Dist #2013-3 Great Park Impt
Area#1, BAM
5.00%
09/01/44
832,235
150,000
Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C
5.00%
09/01/31
151,885
2,000,000
Irvine Ranch CA Wtr Dist Var Impt Dist Cons, Ser B (b)
2.80%
10/01/41
2,000,000
1,000,000
Kern CA Cmnty Clg Dist, Ser D
5.25%
08/01/39
1,092,694
245,000
Lake Elsinore CA Unif Sch Dist Cmnty Facs Dist Cmnty Facs Dt
No 2017-2
5.00%
09/01/39
253,600
1,250,000
Lammersville CA Jt Unif Sch Dist Spl Tax Cfd #2019-1-Mountain
House Sch Facs
5.00%
09/01/46
1,261,925
25,000
Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist
#2014-1 Mountain House Sch Facs
4.00%
09/01/33
24,845
25,000
Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist
#2014-1 Mountain House Sch Facs
4.00%
09/01/34
24,684
200,000
Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist
#2014-1 Mountain House Sch Facs
4.00%
09/01/40
188,243
1,000,000
Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A
5.00%
11/15/35
1,076,309
1,000,000
Long Beach CA Cmnty Clg Dist, Ser E
5.00%
08/01/48
1,061,773
1,010,000
Long Beach CA Marina Rev Ref Alamitos Bay Marina Proj
5.00%
05/15/40
1,082,467
500,000
Long Beach CA Marina Rev Ref Alamitos Bay Marina Proj
5.00%
05/15/41
532,527
50,000
Los Angeles CA Dept of Arpts Arpt Rev Prerefunded Subord
Ref, Ser D, AMT (Pre-refunded maturity 11/15/31)
5.00%
05/15/33
54,187
605,000
Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Priv Activity,
Ser A, AMT
5.00%
05/15/35
640,555
1,125,000
Los Angeles CA Dept of Arpts Arpt Rev Ref Subord Bonds
Sustainable Bonds, Ser D
5.00%
05/15/42
1,227,756
500,000
Los Angeles CA Dept of Arpts Arpt Rev Sustainable Bond Ref
Subord Priv Activity, Ser A, AMT
5.25%
05/15/42
528,921
1,100,000
Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord
Ref, Ser D, AMT
5.00%
05/15/31
1,183,039
See Notes to Financial Statements
Page 5
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$690,000
Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord
Ref, Ser D, AMT
5.00%
05/15/36
$730,032
1,000,000
Los Angeles CA Unif Sch Dist Election 2008, Ser B-1, AG
5.25%
07/01/42
1,024,023
650,000
Los Angeles Cnty CA Dev Auth Mf Hsg Rev Var W LA VA Bldg
156 & 157 Apts, Ser C (Mandatory put 12/01/26)
3.75%
12/01/46
650,205
450,000
Mammoth Lakes CA, BAM, COPS
5.00%
06/01/41
485,856
940,000
Mammoth Lakes CA, BAM, COPS
5.00%
06/01/43
1,006,167
500,000
Mammoth Lakes CA, BAM, COPS
5.00%
06/01/44
532,515
100,000
Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B
5.00%
09/01/27
101,455
250,000
Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B
5.00%
09/01/33
253,428
600,000
Menifee CA Spl Tax Quartz Ranch Cmnty Facs Dist No 2022-
1, Ser A
5.00%
09/01/43
613,813
700,000
Menifee CA Spl Tax Quartz Ranch Cmnty Facs Dist No 2022-
1, Ser A
5.00%
09/01/48
707,064
245,000
Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1
5.00%
09/01/34
252,520
1,500,000
Menifee CA Union Sch Dist, Ser C, AG
3.00%
08/01/40
1,264,189
1,000,000
Met Wtr Dist of Sthrn CA Wtrwks Rev, Ser A
5.00%
04/01/48
1,052,761
530,000
Modesto CA Elem Sch Dist Stanislaus Cnty Election of 2018
Measure D, Ser C
5.00%
08/01/41
567,515
500,000
Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of
2022, Ser B
5.00%
08/01/40
554,805
700,000
Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of
2022, Ser B
5.00%
08/01/41
771,698
750,000
Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of
2022, Ser B
5.00%
08/01/42
821,730
200,000
Morongo Band of Mission Indians CA Rev Ref, Ser B (Pre-
refunded maturity 10/01/28) (c)
5.00%
10/01/42
209,917
500,000
Mountain House Cmnty Facs Dist CA Spl Tax Cmnty Facs Dt
#2024-1 Impt Area #1
5.00%
09/01/40
505,926
800,000
Mountain House Cmnty Facs Dist CA Spl Tax Cmnty Facs Dt
#2024-1 Impt Area #1
5.00%
09/01/45
803,762
500,000
Mountain House Cmnty Facs Dist CA Spl Tax Cmnty Facs Dt
#2024-1 Impt Area #3 Pub Fac and Svcs
5.00%
09/01/41
504,570
1,000,000
Oakdale CA Jt Unif Sch Dist Election of 2024, Ser A
5.00%
08/01/43
1,080,064
1,375,000
Oakdale CA Jt Unif Sch Dist Election of 2024, Ser A
5.00%
08/01/44
1,477,596
100,000
Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac
4.00%
09/01/34
98,264
65,000
Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac
4.00%
09/01/35
63,280
275,000
Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac
4.00%
09/01/39
252,888
500,000
Ontario CA Spl TX Countryside Phase 2 S Facs
5.00%
09/01/39
513,808
800,000
Ontario Pub Fing Auth Lease Rev, Ser A
5.00%
11/01/41
872,664
1,500,000
Orange Cnty CA Cmnty Facs Dist Cmnty Facs Dt #2025 1 Impt
Area #1 Rienda 3, Ser A
5.00%
08/15/46
1,529,845
610,000
Orange Ctr CA Sch Dist Election of 2022, Ser A, AG
5.25%
08/01/48
631,102
1,000,000
Oxnard CA Sch Dist Election of 2022, Ser A, BAM
5.00%
08/01/42
1,066,881
925,000
Pittsburg CA Unif Sch Dist Ref
3.00%
08/01/40
774,042
210,000
Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline
208
5.00%
09/01/33
216,439
220,000
Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline
208
5.00%
09/01/34
226,396
525,000
Ripon CA Redev Agy Successor Agy Tax Allocation Ref, BAM
4.00%
11/01/31
539,350
See Notes to Financial Statements
Page 6
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$500,000
River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1
Phase 2 Pub Impts
5.00%
09/01/40
$501,385
1,500,000
Riverside CA Swr Rev Ref, Ser A
5.00%
08/01/40
1,658,337
575,000
Riverside CA Unif Sch Dist Election of 2016, Ser B
3.00%
08/01/38
508,212
375,000
Riverside CA Unif Sch Dist Impt Area No 1
5.00%
09/01/39
384,269
750,000
Riverside CA Wtr Rev, Ser A
5.00%
10/01/47
785,150
1,000,000
Riverside Cnty CA Transprtn Commn Toll Rev Ref Sr Lien Rctc
91 Express Lanes, Ser B-1
4.00%
06/01/41
983,078
400,000
Romoland CA Sch Dist Spl Tax Underwood Impt Area No 2
Special Tax Bonds
5.00%
09/01/43
406,551
930,000
Roseville CA Spl Tax Amoruso Ranch Cmnty Facs Dist #1 Impt
Area #1
5.00%
09/01/39
951,270
185,000
Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs
5.00%
09/01/32
190,697
160,000
Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs
5.00%
09/01/33
164,912
170,000
Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs
4.00%
09/01/34
169,347
150,000
Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs
4.00%
09/01/35
148,356
1,000,000
S Wstrn CA Cmnty Clg Dist Election of 2024, Ser A
5.25%
08/01/46
1,085,922
200,000
Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist
#2007-01 (c)
5.00%
09/01/32
201,488
1,000,000
Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT
5.00%
07/01/37
1,020,923
1,120,000
Sacramento Cnty CA Arpt Sys Rev, Ser A, AMT
5.00%
07/01/33
1,212,392
775,000
Sacramento Cnty CA Arpt Sys Rev, Ser A, AMT
5.25%
07/01/41
834,131
1,355,000
San Clemente CA Spl Tax Ref Cmnty Facs Dist #2006-1
Marblehead Coastal, BAM
5.00%
09/01/41
1,469,252
500,000
San Diego CA Pub Facs Fing Auth Swr Rev Subord, Ser A
5.00%
05/15/47
522,417
1,500,000
San Diego CA Unif Sch Dist Sustainable Bond, Ser F2
5.00%
07/01/42
1,601,971
130,000
San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A
5.00%
07/01/39
135,086
1,000,000
San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT
5.00%
07/01/34
1,061,485
85,000
San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area
No 2, Ser A
4.00%
09/01/33
84,939
140,000
San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref
Second Ser, Ser 2020A, AMT
5.00%
05/01/37
145,433
3,040,000
San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A,
AMT
5.00%
05/01/49
3,050,644
500,000
San Francisco CA City & Cnty Dev Spl Tax Dist No 2020-1
Mission Rock Facs and Svcs, Ser A (c)
4.00%
09/01/46
430,347
1,000,000
San Francisco CA City & Cnty Pub Utils Commn Wtr Rev Reg and
Loc Wtr Subord, Ser A
5.25%
11/01/48
1,066,909
1,250,000
San Francisco City & Cnty CA Redev Agy Successor Agy Cmnty
Ref Cmnty Facs Dist #6 Mission Bay S Pub Impts, AG
5.25%
08/01/40
1,367,252
1,350,000
San Francisco City & Cnty CA Redev Agy Successor Agy Tax
Transbay Infra Projs Third Lien, Ser B, AG
5.00%
08/01/48
1,414,080
935,000
San Francisco City & Cnty CA, Ser B
2.00%
06/15/29
891,159
175,000
San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev
CABS Ref, Ser A, NATL-RE
(f)
01/15/29
161,397
1,000,000
San Joaquin Vly Clean Energy Auth CA Clean Energy Rev Var
Sustainable Bonds Clean Energy Proj, Ser A (Mandatory put
07/01/35)
5.50%
01/01/56
1,079,230
1,000,000
San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital
Projs Ref, Ser A
5.25%
11/15/40
1,094,056
See Notes to Financial Statements
Page 7
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$1,000,000
San Luis Obispo Pub Fing Auth Lease Rev Ref Cultural Arts Dist
Parking Proj
5.00%
12/01/48
$1,051,931
1,000,000
Santa Ana CA Pub Fing Auth Wtr Rev Ref
5.00%
09/01/42
1,083,630
1,000,000
Santa Barbara CA Fin Auth Lease Rev Pub Safety and Park Projs
4.00%
05/15/42
982,924
1,590,000
Santa Clara CA Wstwtr Rev Sustainable Bonds, COPS
4.25%
02/01/41
1,628,139
500,000
Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable
Bond, Ser A
5.00%
08/01/40
541,228
500,000
Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable
Bond, Ser A
5.00%
08/01/41
539,017
1,075,000
Santa Fe Springs CA Pub Fin Auth Spl Parcel Tax Rev Santa Fe
Springs Road Impts, AG
5.00%
06/01/40
1,162,780
1,100,000
Santa Margarita CA Wtr Dist Spl Tax Ref, Ser A, BAM
5.00%
09/01/43
1,165,771
1,000,000
Santa Rosa CA High Sch Dist, Ser B
5.00%
08/01/45
1,072,221
2,500,000
Sthrn CA Pub Pwr Auth Rev Sustainable Bonds Clean Energy Proj
II, Ser A
5.00%
11/01/33
2,619,617
2,250,000
Stockton E CA Wtr Dist Sustainable Bonds, Ser A, BAM, COPS
5.00%
03/01/50
2,335,476
150,000
Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1
5.00%
09/01/32
153,107
500,000
Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4
Impt Area #1
5.00%
09/01/31
513,919
250,000
Tracy CA Cmnty Facs Dist
5.00%
09/01/33
255,423
1,250,000
Univ of CA CA Rev, Ser CC
5.00%
05/15/53
1,306,997
1,000,000
Univ of CA CA Rev, Ser CD
5.50%
05/15/40
1,137,629
1,000,000
Univ of CA CA Revs Ref, Ser CE
5.00%
11/15/41
1,091,796
500,000
Univ of CA Rev Var Ref Gen Remk, Ser AL-3 (b)
2.70%
05/15/48
500,000
365,000
Vacaville CA Spl Tax Lower Lagoon Vly Impt Area No 1, Ser A
5.00%
09/01/40
367,088
330,000
Val Verde CA Unif Sch Dist Spl Tax Cmty Facs Dist No 2018-2
(Stratford Ranch)
5.00%
09/01/38
341,387
500,000
Val Verde CA Unif Sch Dist Spl Tax Cmty Facs Dist No 2018-2
(Stratford Ranch)
5.00%
09/01/43
509,568
1,000,000
W Patterson CA Fing Auth Spl Tax Cmnty Facs Dt #2022-2
Baldwin Ranch Infra, AG
5.00%
09/01/46
1,041,915
275,000
Wildomar CA Spl Tax Cmnty Fac Dist No.2023-1(Avalino)
5.00%
09/01/41
281,160
325,000
Wildomar CA Spl Tax Cmnty Fac Dist No.2023-1(Avalino)
5.00%
09/01/46
330,008
700,000
Windsor CA Jt Pwrs Fing Auth Sustainable Bonds, AG
5.00%
11/01/45
755,990
 
206,581,762
Colorado — 0.2%
500,000
Jefferson Ctr CO Met Dist #2 Spl Rev Ref, Ser A (c)
5.75%
12/01/46
498,830
Connecticut — 0.2%
490,000
Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A
6.38%
10/01/45
516,744
Florida — 0.1%
175,000
Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area
4.00%
05/01/30
176,347
Guam — 1.3%
500,000
Guam Govt Busn Privilege Tax Rev Ref, Ser G
5.00%
01/01/31
526,449
500,000
Guam Govt Busn Privilege Tax Rev Ref, Ser G
5.25%
01/01/38
532,811
1,000,000
Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A
5.25%
07/01/42
1,049,061
280,000
Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A
5.00%
01/01/50
284,806
210,000
Guam Pwr Auth Rev Ref, Ser A
5.00%
10/01/41
216,016
325,000
Guam Pwr Auth Rev Ref, Ser A
5.00%
10/01/42
334,687
 
2,943,830
See Notes to Financial Statements
Page 8
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Louisiana — 0.4%
$750,000
Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk, Ser
2008 (Mandatory put 06/01/30) (c)
6.10%
06/01/38
$814,770
Ohio — 0.5%
1,000,000
OH St Hsg Fin Agy Mf Hsg Rev Green Oaks of Grove City
Proj, Ser A (c)
6.13%
01/01/46
1,010,220
Puerto Rico — 1.1%
1,100,000
Puerto Rico Cmwlth Restructured, Ser A1
4.00%
07/01/33
1,100,766
1,000,000
Puerto Rico Indl Tourist Eductnl Med & Envrnmntl Control Fac
San Juan Cruise Terminal Proj, Ser 2023-A-2-P3, AMT
6.75%
01/01/45
1,126,291
263,000
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured,
Ser A-2
4.33%
07/01/40
257,083
 
2,484,140
Utah — 0.2%
500,000
Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2
4.00%
06/01/52
410,981
Wisconsin — 0.1%
250,000
Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate
Fdtn LLC Proj, Ser A
5.25%
06/15/45
263,419
Total Investments — 98.6%
215,701,043
(Cost $215,871,014)
Net Other Assets and Liabilities — 1.4%
2,990,622
Net Assets — 100.0%
$218,691,665
 
(a)
When-issued security. The interest rate shown reflects the rate in effect at July 31, 2026. Interest will begin accruing on the
security’s first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial
Statements).
(b)
Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.
(c)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in
periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and
assumptions, which require subjective judgment. At July 31, 2026, securities noted as such amounted to $21,522,472 or 9.8% of
net assets.
(d)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers
(see Note 2D - Restricted Securities in the Notes to Financial Statements).
(e)
Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor.
(f)
Zero coupon security.
 
Abbreviations throughout the Portfolio of Investments:
AG
–  Assured Guaranty, Inc.
AMT
–  Alternative Minimum Tax
BAM
–  Build America Mutual
CABS
–  Capital Appreciation Bonds
COPS
–  Certificates of Participation
NATL-RE
–  National Public Finance Guarantee Corp.
See Notes to Financial Statements
Page 9
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2026
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Municipal Bonds*
$215,701,043
$—
$215,701,043
$—
 
*
See Portfolio of Investments for state and territory breakout.
See Notes to Financial Statements
Page 10
First Trust New York Municipal High Income ETF (FMNY)
Portfolio of Investments
July 31, 2026
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS — 99.6%
American Samoa — 0.7%
$250,000
American Samoa AS Econ Dev Auth Gen Rev Ref, Ser A (a)
5.00%
09/01/35
$257,986
Florida — 1.8%
265,000
Lake Emma Cmnty Dev Dist FL Spl Assmnt Assmnt Area One
3.50%
06/15/41
219,615
345,000
Ridge at Apopka CDD FL Spl Assmnt, Ser 22
5.38%
05/01/42
348,411
105,000
Shingle Creek at Bronson CDD FL Spl Assmnt
3.50%
06/15/41
92,824
 
660,850
Guam — 0.7%
250,000
Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A
5.25%
07/01/39
266,444
New Jersey — 0.8%
300,000
NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA
5.00%
06/15/45
314,194
New York — 91.5%
500,000
Albany NY Capital Res Corp Ref Albany Med Ctr Hosp Proj, Ser A
5.25%
05/01/50
521,301
275,000
Battery Park City NY Auth Sr Sustainable Bond, Ser A
5.00%
11/01/44
295,349
500,000
Battery Park City NY Auth Sr Sustainable Bond, Ser A
5.00%
11/01/53
517,734
300,000
Brewster NY Centrl Sch Dist
3.00%
10/01/26
299,939
560,000
Brookhaven NY Loc Dev Corp Rev Ref Long Island Cmnty Hosp
Proj, Ser A
5.00%
10/01/50
565,327
300,000
Buffalo NY Muni Wtr Fin Auth, Ser A, BAM
5.00%
07/01/41
325,285
365,000
Buffalo NY Swr Auth, Ser A
5.00%
06/15/43
388,206
550,000
Build NYC Res Corp NY Rev Renaissance Chrt Sch 2 Proj, Ser A
5.25%
06/15/45
546,043
300,000
Build NYC Res Corp NY Rev S Bronx Classical Chrt Sch V
Proj, Ser A
5.25%
06/15/51
298,144
300,000
Build NYC Res Corp NY Rev Success Acdmy Chrt Schs Proj
4.00%
09/01/43
276,037
300,000
Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub
Sch Facs Canal W Proj
5.00%
07/01/42
305,545
275,000
Carmel NY
4.00%
09/15/45
272,509
300,000
Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref
NRG Energy Proj Remk (Mandatory put 04/03/28)
4.25%
04/01/42
303,649
248,446
Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds
Tomopkins Terrace Hsg LP Proj
5.00%
10/01/40
256,623
250,000
Dutchess Cnty NY Loc Dev Corp Rev Marist Clg Proj
5.00%
07/01/52
251,356
270,000
Dutchess Cnty NY Loc Dev Corp Rev Ref The Culinary Institute of
America Proj
5.25%
07/01/43
279,418
440,000
Erie Cnty NY Buffalo Bills Stadium Proj, Ser B
5.25%
09/15/42
486,277
205,000
Franklin Cnty NY Sol Wst Mgmt Auth, AMT
5.00%
06/01/43
206,457
725,000
Genesee Cnty NY Funding Corp Rochester Regl Hlth Energy
Proj, Ser A
5.00%
12/01/44
744,319
665,000
Hempstead Town NY Loc Dev Corp Rev Adelphi Univ Proj, Ser A
5.00%
10/01/45
668,740
335,000
Hempstead Town NY Loc Dev Corp Rev Ref Hofstra Univ
Proj, Ser A
4.00%
07/01/36
332,082
250,000
Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A
5.00%
02/15/37
252,128
250,000
Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A
5.00%
02/15/42
251,561
685,000
Lackawanna NY
5.00%
11/01/37
773,584
300,000
Long Beach NY, Ser B, BAM
5.25%
07/15/32
322,389
250,000
Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A
5.00%
09/01/49
257,496
250,000
Long Island NY Pwr Auth Elec Sys Rev Ref, Ser B (b)
5.00%
09/01/45
265,312
350,000
Long Island NY Pwr Auth Elec Sys Rev Sustainable Bond, Ser E
5.00%
09/01/48
362,994
250,000
Met Transprtn Auth NY Rev Ref Sustainable Bonds, Ser B
5.00%
11/15/43
261,993
300,000
Met Transprtn Auth NY Rev Sustainable Bond Ref, Ser A
5.50%
11/15/47
318,288
250,000
Met Transprtn Auth NY Rev Var Transptrn Remk, Subser E-1 (c)
3.05%
11/15/50
250,000
See Notes to Financial Statements
Page 11
First Trust New York Municipal High Income ETF (FMNY)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
New York (Continued)
$300,000
Monroe Cnty NY Indl Dev Agy Mf Hsg Rev Var Andrews Terrace
Cmnty Partners LP Proj B-1 (Mandatory put 07/01/27)
5.00%
07/01/28
$305,138
250,000
Monroe Cnty NY Indl Dev Corp Rev Ref St John Fisher Univ Proj
5.00%
06/01/44
259,785
250,000
Monroe Cnty NY Indl Dev Corp Rev Univ of Rochester Proj, Ser A
5.00%
07/01/53
257,234
300,000
N Babylon NY Union Free Sch Dist
3.00%
07/01/35
278,862
350,000
Nassau Cnty NY Indl Dev Agy Var Ref & Impt Cold Spring
Rmkt (c)
2.95%
01/01/34
350,000
250,000
New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable
Bond, Ser A-1
3.95%
05/01/35
247,934
395,000
New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable
Bond, Ser B-1
4.75%
11/01/40
402,920
250,000
New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable
Bond, Ser D
4.20%
11/01/41
236,100
250,000
New York City NY Indl Dev Agy Rev Ref Queens Baseball
Stadium Proj, Ser A, AG
3.00%
01/01/37
225,805
265,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref
2nd Gen Resolution, Ser AA
4.00%
06/15/40
256,297
250,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref
Fiscal 2026, Ser AA-2
5.00%
06/15/44
267,666
250,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref
Var 2nd Gen Resolution, Subser BB-1 (c)
3.05%
06/15/44
250,000
305,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev
Ref, Ser AA-3
5.00%
06/15/47
317,158
360,000
New York City NY Transitional Fin Auth Rev Ref Subord, Ser D-1
5.00%
11/01/40
382,222
250,000
New York City NY Transitional Fin Auth Rev Subord, Ser B-1
4.00%
08/01/39
240,542
250,000
New York City NY Transitional Fin Auth Rev Subord, Subser F-3
3.00%
02/01/39
210,908
250,000
New York City NY Trust For Cultural Res Ref American Museum
of Nat History, Ser A
5.00%
07/15/54
257,100
275,000
New York NY Fiscal 2025 Multi Modal, Ser E
5.00%
08/01/41
290,308
250,000
NY Energy Fin Dev Corp Var (Mandatory put 12/01/33)
5.00%
07/01/56
254,366
250,000
NY NY Fiscal 2021, Ser C
4.00%
08/01/41
232,155
760,000
NY St Convention Ctr Dev Corp Rev Ref Sr Lien Hotel Unit Fee
Secured, Ser A
5.00%
11/15/42
817,890
640,000
NY St Convention Ctr Dev Corp Rev Sr Lien Hotel Unit Fee
Secured, Ser A
5.00%
11/15/46
644,075
500,000
NY St Dorm Auth Revs Non St Supported Debt Iona Clg, Ser A
5.00%
07/01/46
500,663
250,000
NY St Dorm Auth Revs Non St Supported Debt Memorial Sloan
Kettering Cancer Ctr, Ser 1
5.25%
07/01/54
263,254
300,000
NY St Dorm Auth Revs Non St Supported Debt New York Institute
of Technology
5.00%
07/01/44
305,403
500,000
NY St Dorm Auth Revs Non St Supported Debt Orchard Park
CCRC Inc Oblig Grp
5.13%
11/15/50
503,143
250,000
NY St Dorm Auth Revs Non St Supported Debt Pratt Institute Ref
5.00%
07/01/39
250,159
1,000,000
NY St Dorm Auth Revs Non St Supported Debt Ref New York
University, Ser A
5.00%
07/01/39
1,102,485
440,000
NY St Dorm Auth Revs Non St Supported Debt Ref Northwell Hlth
Oblig Grp, Ser A
5.00%
05/01/34
485,748
355,000
NY St Dorm Auth Revs Non St Supported Debt Ref Northwell Hlth
Oblig Grp, Ser A
5.00%
05/01/38
376,669
250,000
NY St Dorm Auth Revs Non St Supported Debt Roswell Park
Cancer Institute Oblig Grp, Ser A-1, AG
5.00%
07/01/39
268,735
See Notes to Financial Statements
Page 12
First Trust New York Municipal High Income ETF (FMNY)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
New York (Continued)
$350,000
NY St Dorm Auth Revs Non St Supported Debt Sch Dists Rev
Bond Fing Prog, Ser A
5.00%
10/01/46
$366,561
250,000
NY St Dorm Auth Revs Non St Supported Debt White Plains Hosp
Oblig Grp, AG
5.25%
10/01/43
267,173
290,000
NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A-Grp 3
3.00%
03/15/38
253,155
250,000
NY St Dorm Auth St Personal Income Tax Rev Ref, Ser C
5.25%
03/15/47
265,234
250,000
NY St Energy Rsrch & Dev Auth Poll Cntrl Rev Ref NY Elec &
Gas Remk, Ser C
4.00%
04/01/34
253,812
500,000
NY St Envrnmntl Facs Corp Sol Wst Disp Rev Var Draw Down
Casella Wst Sys Inc Proj R-1 Remk, AMT (Mandatory put
09/03/30) (a)
4.25%
09/01/50
506,854
250,000
NY St Envrnmntl Facs Corp Sol Wst Disp Rev Var Draw Down
Casella Wst Sys Inc Proj, Ser R-2, AMT (Mandatory put
09/03/30) (a)
5.13%
09/01/50
261,604
300,000
NY St Envrnmntl Facs Corp St Clean Wtr & Drinking Wtr Ref
NYC Muni Wtr Fin Auth Projs Subord Srf Bond, Ser C
5.00%
06/15/44
325,568
250,000
NY St Hsg Fin Agy Affordable Hsg Rev Var 320 W 38th Street
Hsg Remk, Ser A (Mandatory put 11/01/31)
3.57%
05/01/42
248,233
255,000
NY St Hsg Fin Agy Affordable Hsg, Ser B
3.20%
11/01/36
230,067
300,000
NY St Mtge Agy Homeowner Mtge Rev Sustainable Bonds,
Ser 266
4.55%
10/01/45
296,142
750,000
NY St Pwr Auth Green Trans Proj Rev Sustainable Bonds
Sustainable Trans Proj, Ser A, AG
5.00%
11/15/48
786,115
300,000
NY St Thruway Auth Gen Rev Jr Indebtedness Obl Ref Jr, Ser A
5.00%
01/01/46
316,061
305,000
NY St Thruway Auth Gen Rev Jr Indebtedness Obl Subord, Ser B
4.00%
01/01/45
282,699
360,000
NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia
Arpt Terminals C&D Redev, AMT
4.00%
10/01/30
365,540
400,000
NY St Transprtn Dev Corp Spl Fac Rev LaGuardia Arpt Terminal
C&D Redev Proj, AMT
5.63%
04/01/40
424,141
250,000
NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc
John F Kennedy Intl Arpt Proj, AMT
5.00%
08/01/31
249,987
250,000
NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl
Arpt Proj, AMT
5.25%
08/01/31
258,962
250,000
NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl
Arpt New Terminal One Proj, AMT
6.00%
06/30/42
273,005
435,000
NY St Transprtn Dev Corp Spl Fac Rev Terminal 4 JFK Intl Arpt
Proj, AMT
5.00%
12/01/30
460,406
280,000
NY St Urban Dev Corp Sales Tax Rev, Ser A
5.00%
03/15/45
295,375
75,000
Onondaga Cnty NY
3.00%
04/15/36
68,991
250,000
Oyster Bay NY, Ser A, AG
2.00%
03/01/35
205,608
305,000
Port Auth of NY & NJ NY Ref, Ser 246, AMT
5.00%
09/01/40
320,693
300,000
Port Auth of NY & NJ NY Ref, Ser 246, AMT
5.00%
09/01/44
312,035
280,000
Port Auth of NY & NJ NY Ref, Ser 251
5.00%
08/15/46
299,301
1,000,000
Rensselaer Cnty NY Capital Res Corp Energy Performance Van
Rensselaer Manor Nursing Home Proj
5.25%
04/01/45
1,068,027
250,000
Rockland Cnty NY Sol Wst Mgmt Auth Animal Shelter Proj, Ser A
6.25%
12/15/49
278,010
500,000
Suffolk Regl Off Track Betting Corp NY Rev
6.00%
12/01/53
508,481
250,000
Syracuse Regl Arpt Auth NY Sr Arpt Rev Ref, AMT
4.00%
07/01/36
242,813
285,000
Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax Ref
MTA Bridges & Tunnels, Ser A
5.00%
05/15/47
295,269
250,000
Triborough NY Bridge & Tunnel Auth Revs, Ser A
5.00%
11/15/42
263,262
250,000
Triborough NY Bridge & Tunnel Auth Revs, Ser A
5.50%
11/15/57
262,356
See Notes to Financial Statements
Page 13
First Trust New York Municipal High Income ETF (FMNY)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
New York (Continued)
$100,000
Util Debt Securitization Auth NY Ref Sustainable Bonds, Ser TE-1
5.00%
12/15/46
$107,435
315,000
Util Debt Securitization Auth NY Ref TE, Ser 1
5.00%
12/15/41
344,873
250,000
Westchester Cnty NY Loc Dev Corp Rev Westchester Med Ctr
Oblig Grp Proj, AG
5.75%
11/01/49
265,794
250,000
Yonkers NY, Ser A, AG
5.00%
02/01/44
263,578
250,000
Yonkers NY, Ser F, BAM
5.00%
11/15/41
265,471
 
34,855,500
Puerto Rico — 2.8%
400,000
Puerto Rico Cmwlth Restructured, Ser A1
4.00%
07/01/33
400,279
250,000
Puerto Rico Indl Tourist Eductnl Med & Envrnmntl Control Fac
San Juan Cruise Terminal Proj, Ser 2023-A-2-P3, AMT
6.50%
01/01/42
278,548
400,000
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured,
Ser A-2
4.33%
07/01/40
391,001
 
1,069,828
South Dakota — 1.3%
500,000
SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty
Issue, Ser A
5.00%
09/01/50
500,948
Total Investments — 99.6%
37,925,750
(Cost $37,999,559)
Net Other Assets and Liabilities — 0.4%
162,579
Net Assets — 100.0%
$38,088,329
 
(a)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined
to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall
market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require
subjective judgment. At July 31, 2026, securities noted as such amounted to $1,026,444 or 2.7% of net assets.
(b)
When-issued security. The interest rate shown reflects the rate in effect at July 31, 2026. Interest will begin accruing on the
security’s first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial
Statements).
(c)
Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.
 
Abbreviations throughout the Portfolio of Investments:
AG
–  Assured Guaranty, Inc.
AMT
–  Alternative Minimum Tax
BAM
–  Build America Mutual
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Municipal Bonds*
$37,925,750
$—
$37,925,750
$—
 
*
See Portfolio of Investments for state and territory breakout.
See Notes to Financial Statements
Page 14
First Trust Exchange-Traded Fund III
Statements of Assets and Liabilities
July 31, 2026
 
 
First Trust
California
Municipal High
Income ETF
(FCAL)
First Trust New
York Municipal
High Income
ETF
(FMNY)
ASSETS:
Investments, at value
$215,701,043
$37,925,750
Cash
1,048,568
51,264
Receivables:
Interest
2,773,223
393,440
Investment securities sold
528,185
—
Total Assets
220,051,019
38,370,454
 
LIABILITIES:
Payables:
Investment securities purchased
1,267,131
266,047
Investment advisory fees
92,223
16,078
Total Liabilities
1,359,354
282,125
NET ASSETS
$218,691,665
$38,088,329
 
NET ASSETS consist of:
Paid-in capital
$235,018,302
$39,874,591
Par value
45,000
14,500
Accumulated distributable earnings (loss)
(16,371,637
)
(1,800,762
)
NET ASSETS
$218,691,665
$38,088,329
NET ASSET VALUE, per share
$48.60
$26.27
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per
share)
4,500,002
1,450,002
Investments, at cost
$215,871,014
$37,999,559
See Notes to Financial Statements
Page 15
First Trust Exchange-Traded Fund III
Statements of Operations
For the Year Ended July 31, 2026
 
 
First Trust
California
Municipal High
Income ETF
(FCAL)
First Trust New
York Municipal
High Income
ETF
(FMNY)
INVESTMENT INCOME:
Interest
$8,194,106
$1,305,711
Total investment income
8,194,106
1,305,711
 
EXPENSES:
Investment advisory fees
1,157,636
 
167,578
 
Other expenses
21,276
1,460
Total expenses
1,178,912
169,038
Less fees waived by the investment advisor
(27,531
)
(3,873
)
Net expenses
1,151,381
165,165
NET INVESTMENT INCOME (LOSS)
7,042,725
1,140,546
 
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments
(1,253,728
)
(45,744
)
Futures contracts
(426,336
)
(9,544
)
Net realized gain (loss)
(1,680,064
)
(55,288
)
Net change in unrealized appreciation (depreciation) on:
Investments
5,078,167
298,718
Futures contracts
96,781
1,375
Net change in unrealized appreciation (depreciation)
5,174,948
300,093
NET REALIZED AND UNREALIZED GAIN (LOSS)
3,494,884
244,805
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
$10,537,609
$1,385,351
See Notes to Financial Statements
Page 16
First Trust Exchange-Traded Fund III
Statements of Changes in Net Assets
 
 
First Trust California Municipal
High Income ETF (FCAL)
First Trust New York Municipal
High Income ETF (FMNY)
 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
OPERATIONS:
Net investment income (loss)
$7,042,725
$8,473,075
$1,140,546
$714,349
Net realized gain (loss)
(1,680,064
)
(4,561,516
)
(55,288
)
(127,859
)
Net change in unrealized appreciation (depreciation)
5,174,948
(7,507,783
)
300,093
(733,396
)
Net increase (decrease) in net assets resulting from
operations
10,537,609
(3,596,224
)
1,385,351
(146,906
)
 
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations
(6,937,003
)
(8,247,703
)
(1,123,502
)
(725,352
)
 
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold
49,177,414
 
56,452,725
 
18,512,358
 
2,653,696
 
Cost of shares redeemed
(31,720,832
) 
(100,492,899
) 
(1,294,627
) 
—
 
Net increase (decrease) in net assets resulting from
shareholder transactions
17,456,582
(44,040,174
)
17,217,731
2,653,696
Total increase (decrease) in net assets
21,057,188
(55,884,101
)
17,479,580
1,781,438
 
NET ASSETS:
Beginning of period
197,634,477
253,518,578
20,608,749
18,827,311
End of period
$218,691,665
$197,634,477
$38,088,329
$20,608,749
 
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period
4,150,002
5,100,002
800,002
700,002
Shares sold
1,000,000
1,150,000
700,000
100,000
Shares redeemed
(650,000
)
(2,100,000
)
(50,000
)
—
Shares outstanding, end of period
4,500,002
4,150,002
1,450,002
800,002
See Notes to Financial Statements
Page 17
First Trust Exchange-Traded Fund III
Financial Highlights
For a share outstanding throughout each period
First Trust California Municipal High Income ETF (FCAL)
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$47.62
$49.71
$48.92
$49.71
$55.37
Income from investment operations:
Net investment income (loss)
1.70
 (a)
1.57
 (a)
1.48
 (a)
1.32
 (a)
1.08
 
Net realized and unrealized gain (loss)
0.95
 
(2.11
) 
0.74
 
(0.81
) 
(5.65
) 
Total from investment operations
2.65
 
(0.54
) 
2.22
 
0.51
 
(4.57
) 
Distributions paid to shareholders from:
Net investment income
(1.67
) 
(1.55
) 
(1.43
) 
(1.29
) 
(1.08
) 
Return of capital
—
 
—
 
—
 
(0.01
) 
(0.01
) 
Total distributions
(1.67
) 
(1.55
) 
(1.43
) 
(1.30
) 
(1.09
) 
Net asset value, end of period
$48.60
 
$47.62
 
$49.71
 
$48.92
 
$49.71
 
Total return (b)
5.57
% 
(1.14
)% 
4.62
% 
1.08
% 
(8.33
)% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$218,692
 
$197,634
 
$253,519
 
$149,218
 
$121,778
 
Ratio of total expenses to average net assets
0.58
% 
0.65
% 
0.65
% 
0.65
% 
0.65
% 
Ratio of net expenses to average net assets
0.56
% 
0.65
% 
0.65
% 
0.60
% 
0.50
% 
Ratio of net investment income (loss) to average net assets
3.45
% 
3.18
% 
3.03
% 
2.71
% 
2.09
% 
Portfolio turnover rate (c)
28
% 
58
% 
41
% 
54
% 
30
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during
certain periods if certain fees had not been waived by the investment advisor.
(c)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 18
First Trust Exchange-Traded Fund III
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust New York Municipal High Income ETF (FMNY)
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$25.76
$26.90
$26.57
$27.12
$30.51
Income from investment operations:
Net investment income (loss)
1.01
 (a)
0.96
 (a)
0.94
 (a)
0.86
 (a)
0.68
 
Net realized and unrealized gain (loss)
0.49
 
(1.13
) 
0.32
 
(0.59
) 
(3.61
) 
Total from investment operations
1.50
 
(0.17
) 
1.26
 
0.27
 
(2.93
) 
Distributions paid to shareholders from:
Net investment income
(0.99
) 
(0.97
) 
(0.93
) 
(0.82
) 
(0.46
) 
Net asset value, end of period
$26.27
 
$25.76
 
$26.90
 
$26.57
 
$27.12
 
Total return (b)
5.85
% 
(0.69
)% 
4.86
% 
1.06
% 
(9.66
)% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$38,088
 
$20,609
 
$18,827
 
$13,283
 
$10,848
 
Ratio of total expenses to average net assets
0.56
% 
0.65
% 
0.65
% 
0.65
% 
0.65
% 
Ratio of net expenses to average net assets
0.55
% 
0.65
% 
0.54
% 
0.50
% 
0.50
% 
Ratio of net investment income (loss) to average net assets
3.79
% 
3.61
% 
3.55
% 
3.24
% 
2.18
% 
Portfolio turnover rate (c)
24
% 
32
% 
36
% 
41
% 
154
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during
certain periods if certain fees had not been waived by the investment advisor.
(c)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 19
Notes to Financial Statements
First Trust Exchange-Traded Fund III
July 31, 2026

1. Organization
First Trust Exchange-Traded Fund III (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
This report covers the two funds (each a “Fund” and collectively, the “Funds”) listed below:
 
First Trust California Municipal High Income ETF (Nasdaq, Inc. ticker “FCAL”)
First Trust New York Municipal High Income ETF (NYSE Arca, Inc. ticker “FMNY”)
FCAL is a diversified series of the Trust. FMNY is a non-diversified series of the Trust.
Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.”
Each Fund is an actively managed exchange-traded fund. The primary investment objective of each Fund is to seek to provide current income that is exempt from regular federal income taxes and, for FCAL, California income taxes and, for FMNY, New York income taxes. The secondary investment objective of each Fund is long-term capital appreciation. Under normal market conditions, each Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes and, for FCAL, California income taxes and, for FMNY, New York State and New York City income taxes. There can be no assurance that a Fund will achieve its investment objectives. The Funds may not be appropriate for all investors.
2. Significant Accounting Policies
The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
Each Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities are priced using data reflecting the earlier closing of the principal markets for those securities. Each Fund’s NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Each Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:
Municipal securities and other debt securities are fair valued on the basis of fair valuations provided by a third-party pricing service approved by the Advisor’s Pricing Committee, which may use the following valuation inputs when available:
 1)
benchmark yields;
 2)
reported trades;
 3)
broker/dealer quotes;
 4)
issuer spreads;
Page 20
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
 5)
benchmark securities;
 6)
bids and offers; and
 7)
reference data including market research publications.
Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.
Exchange-traded futures contracts are valued at the end of the day settlement price.
Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor’s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:
 1)
the credit conditions in the relevant market and changes thereto;
 2)
the liquidity conditions in the relevant market and changes thereto;
 3)
the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
 4)
issuer-specific conditions (such as significant credit deterioration); and
 5)
any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended (the “1933 Act”)) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
 1)
the most recent price provided by a pricing service;
 2)
available market prices for the fixed-income security;
 3)
the fundamental business data relating to the issuer;
 4)
an evaluation of the forces which influence the market in which these securities are purchased and sold;
 5)
the type, size and cost of the security;
 6)
the financial statements of the issuer;
 7)
the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis;
 8)
the information as to any transactions in or offers for the security;
 9)
the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;
10)
the coupon payments;
11)
the quality, value and salability of collateral, if any, securing the security; and
12)
other relevant factors.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
Page 21
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
•  Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•  Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o  Quoted prices for similar investments in active markets.
o  Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o  Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o  Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
•  Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of July 31, 2026, is included with each Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.
Securities purchased or sold on a when-issued or delayed-delivery securities basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. Each Fund maintains liquid assets with a current value at least equal to the amount of its when-issued or delayed-delivery securities. At July 31, 2026, FCAL and FMNY held $731,092 and $265,312, respectively, of when-issued or delayed-delivery securities.
C. Futures Contracts
The Funds may purchase or sell (i.e., are long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Funds are not able to enter into an offsetting transaction, the Funds will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in “Net realized gain (loss) on futures contracts” on the Statements of Operations.
Upon entering into a futures contract, a Fund must deposit funds, called margin, with its custodian in the name of the clearing broker equal to a specified percentage of the current value of the contract. Open futures contracts are marked-to-market daily with the change in value recognized as a component of “Net change in unrealized appreciation (depreciation) on futures contracts” on the Statements of Operations. This daily fluctuation in the value of the contract is also known as variation margin and is included in “Variation margin” payable or receivable on the Statements of Assets and Liabilities.
If market conditions change unexpectedly, the Funds may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price of the futures contracts, interest rates and the underlying instruments. The Funds did not hold any futures contracts at July 31, 2026.
D. Restricted Securities
FCAL invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of July 31, 2026, FCAL held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Trust’s Board of Trustees. Although
Page 22
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. FCAL does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no unrestricted securities with the same maturity dates and yields for these issuers.
 
Security
Acquisition
Date
Principal
Value
Current
Price
Carrying
Cost
Value
% of
Net Assets
FCAL  
CA St Muni Fin Auth Chrt Sch
Lease Rev Sycamore Acdmy Proj,
5.38%, 07/01/34
06/14/18
$250,000
$100.04
$250,000
$250,100
0.11
%
E. Dividends and Distributions to Shareholders
Dividends from net investment income of each Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2026 were as follows:
 
 
Distributions
paid from
Ordinary
Income
Distributions
paid from
Capital
Gains
Distributions
paid from
Tax-Exempt
Income
Distributions
paid from
Return of
Capital
First Trust California Municipal High Income ETF
$25,971
$—
$6,911,032
$—
First Trust New York Municipal High Income ETF
10,154
—
1,113,348
—
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2025 were as follows:
 
 
Distributions
paid from
Ordinary
Income
Distributions
paid from
Capital
Gains
Distributions
paid from
Tax-Exempt
Income
Distributions
paid from
Return of
Capital
First Trust California Municipal High Income ETF
$6,230
$—
$8,241,473
$—
First Trust New York Municipal High Income ETF
103
—
725,249
—
As of July 31, 2026, the components of distributable earnings on a tax basis for each Fund were as follows:
 
 
Undistributed
Ordinary
Income
Accumulated
Capital and
Other
Gain (Loss)
Net
Unrealized
Appreciation
(Depreciation)
First Trust California Municipal High Income ETF
$393,862
$(16,815,969
)
$50,470
First Trust New York Municipal High Income ETF
57,237
(1,841,725
)
(16,274
)
F. Income Taxes
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However,
Page 23
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
In addition, each Fund intends to invest in municipal securities to allow it to pay shareholders “exempt dividends” as defined in the Code.
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2023, 2024, 2025, and 2026 remain open to federal and state audit. As of July 31, 2026, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2026, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund’s shareholders.
 
 
Non-Expiring
Capital Loss
Carryforwards
First Trust California Municipal High Income ETF
$16,815,969
First Trust New York Municipal High Income ETF
1,841,725
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2026, the Funds had no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2026, the adjustments for each Fund were as follows:
 
 
Accumulated
Net Investment
Income (Loss)
Accumulated
Net Realized
Gain (Loss)
on Investments
Paid-In
Capital
First Trust California Municipal High Income ETF
$(93
)
$93
$—
First Trust New York Municipal High Income ETF
—
—
—
As of July 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:
 
 
Tax Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
(Depreciation)
Net Unrealized
Appreciation
(Depreciation)
First Trust California Municipal High Income ETF
$215,650,573
$2,455,910
$(2,405,440
)
$50,470
First Trust New York Municipal High Income ETF
37,942,024
393,052
(409,326
)
(16,274
)
G. Expenses
Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3).
Page 24
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
H. Segment Reporting
An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of each Fund. Each Fund operates as a single operating segment. Each Fund’s income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of each Fund, using the information presented in the financial statements and financial highlights.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund’s portfolio, managing the Funds’ business affairs and providing certain administrative services necessary for the management of the Funds.
Pursuant to the Investment Management Agreements between the Trust and the Advisor, First Trust manages the investment of each Fund’s assets and is responsible for the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit, and other services, but excluding fee payments under the Investment Management Agreements, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. Effective February 1, 2026, the Board of Trustees (the “Board”) approved a permanent contractual reduction of the annual unitary management fee for each Fund to 0.49% of average daily net assets. In connection with the adoption of the reduced annual unitary management fee, the Board has also approved, effective February 1, 2026, the termination of the temporary fee waiver for each Fund that was put in place on January 1, 2026 (described below). Additionally, under the Funds’ new fee structure, each Fund is no longer eligible for any breakpoint discounts described in each Fund’s prospectus or statement of additional information.
Prior to February 1, 2026, the annual unitary management fee payable by each Fund to First Trust for these services would reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedule:
 
Breakpoints
 
Fund net assets up to and including $2.5 billion
0.65000
%
Fund net assets greater than $2.5 billion up to and including $5 billion
0.63375
%
Fund net assets greater than $5 billion up to and including $7.5 billion
0.61750
%
Fund net assets greater than $7.5 billion up to and including $10 billion
0.60125
%
Fund net assets greater than $10 billion
0.58500
%
From January 1, 2026 to January 31, 2026 for each Fund, the Advisor waived management fees of 0.16% of average daily net assets. During any period in which such waiver was in effect, each Fund was not be eligible for any breakpoint discounts. During the fiscal year ended July 31, 2026, the Advisor waived fees of $27,531 and $3,873 for FCAL and FMNY, respectively.
The Trust has multiple service agreements with The Bank of New York Mellon (“BNY”). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNY is responsible for custody of each Fund’s assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for each Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.
Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee
Page 25
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Purchases and Sales of Securities
For the fiscal year ended July 31, 2026, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
 
 
Purchases
Sales
First Trust California Municipal High Income ETF
$72,943,628
$56,790,121
First Trust New York Municipal High Income ETF
23,747,954
6,926,594
For the fiscal year ended July 31, 2026, the Funds had no in-kind transactions.
5. Borrowings
The Trust, on behalf of FCAL, along with First Trust Exchange-Traded Fund IV, First Trust Series Fund and First Trust Variable Insurance Trust, has a credit agreement with BNY (the “Credit Agreement”) as administrative agent for a group of lenders. The borrowing rate is the higher of the federal funds effective rate and the adjusted daily simple SOFR rate plus 1.00%. The commitment amount under the Credit Agreement is $620 million and such commitment amount may be increased up to $700 million with the consent of one or more lenders. BNY charges on behalf of the lenders a commitment fee of 0.15% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans and an agency fee. The commitment fee and agency fee are allocated amongst the funds that have access to the credit line pursuant to procedures approved by the Board of Trustees. To the extent that FCAL accesses the credit line, there would also be an interest fee charged. FCAL did not draw on the credit line during the fiscal year ended July 31, 2026.
6. Derivative Transactions
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended July 31, 2026, on each Fund’s derivative instruments, as well as the primary underlying risk exposure associated with the instruments.
 
 
Statements of Operations Location
FCAL  
FMNY  
Interest Rate Risk Exposure
Net realized gain (loss) on futures contracts
$(426,336
)
$(9,544
)
Net change in unrealized appreciation
(depreciation) on futures contracts
96,781
1,375
For FCAL, the average notional value of futures contracts outstanding during the fiscal year ended July 31, 2026, which is indicative of the volume of this derivative type, was $3,629,434.
For FMNY, the average notional value of futures contracts outstanding during the fiscal year ended July 31, 2026. which is indicative of the volume of this derivative type, was $113,509.
The Funds do not have the right to offset financial assets and financial liabilities related to futures contracts on the Statements of Assets and Liabilities.
7. Creations, Redemptions and Transaction Fees
Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with a Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in Creation Units. Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by
Page 26
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
8. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.
9. Indemnification
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
10. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
Page 27
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund III:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of First Trust California Municipal High Income ETF and First Trust New York Municipal High Income ETF (the “Funds”), each a series of the First Trust Exchange-Traded Fund III, including the portfolio of investments, as of July 31, 2026, the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements and financial highlights”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2026, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 22, 2026
We have served as the auditor of one or more First Trust investment companies since 2001.
Page 28
Other Information
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)

Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)
There were no changes in or disagreements with the Funds’ accountants during the fiscal year ended July 31, 2026.
Proxy Disclosures (Item 9 of Form N-CSR)
At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the “Trust”) that was held on August 12, 2025 (the “Special Meeting”), shareholders of record as of June 9, 2025 (the “Record Date”) approved a proposal (the “Proposal”) to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the “Board”). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a “fund”) voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.
 
James A. Bowen*
Votes For
Votes Withheld
448,229,817
1,692,488
Thomas J. Driscoll**
Votes For
Votes Withheld
448,104,659
1,817,646
Richard E. Erickson*
Votes For
Votes Withheld
447,812,453
2,109,852
Thomas R. Kadlec*
Votes For
Votes Withheld
446,751,895
3,170,410
Denise M. Keefe***
Votes For
Votes Withheld
448,425,408
1,496,897
Robert F. Keith*
Votes For
Votes Withheld
447,967,349
1,954,956
Niel B. Nielson*
Votes For
Votes Withheld
447,968,834
1,953,471
Bronwyn Wright***
Votes For
Votes Withheld
200,751,188
249,171,117
 
*
This nominee was re-elected to the Board at the Special Meeting.
**
This nominee was elected to the Board as a new Trustee at the Special Meeting.
***
This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.
Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)
Independent Trustees of each Fund are compensated through the unitary management fee paid by each Fund to the advisor and not directly by each Fund. The investment advisory fee paid is included in the Statements of Operations.
Statement Regarding the Basis for the Board’s Approval of Investment Advisory Contract (Item 11 of Form N-CSR)
The Board of Trustees of First Trust Exchange-Traded Fund III (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”) on behalf of each of the following series of the Trust (each a “Fund” and collectively, the “Funds”):
First Trust California Municipal High Income ETF (FCAL)
First Trust New York Municipal High Income ETF (FMNY)
Page 29
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2027 at a meeting held on June 7–8, 2026. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.
To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 13, 2026 and June 7–8, 2026, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 13, 2026, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 7–8, 2026 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund’s unitary fee.
In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. The Board noted that each Fund is an actively-managed ETF and noted that the Advisor’s Municipal Securities Team is responsible for the day-to-day management of the Funds’ investments. The Board considered the background and experience of the members of the Municipal Securities Team and noted the Board’s prior meetings with members of the Team. The Board considered the Advisor’s statement that it applies the same oversight model internally with its Municipal Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 13, 2026 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objectives, policies and restrictions.
The Board considered the unitary fee rate schedule payable by each Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions,
Page 30
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. The Board noted that, effective February 1, 2026, each Fund’s unitary fee rate was reduced to an annual rate of 0.49% of the Fund’s average daily net assets. Based on the information provided, the Board noted that the total (net) expense ratio for FCAL was above the median total (net) expense ratio of the peer funds in its Expense Group. The Board also noted that the total (net) expense ratio for FMNY was equal to the median total (net) expense ratio of the peer funds in its Expense Group. With respect to the Expense Groups, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedules overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund’s performance. The Board also received and reviewed information comparing each Fund’s performance for periods ended December 31, 2025 to the performance of the funds in its Performance Universe and to that of a benchmark index.
On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure, including technology, and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Funds. The Board concluded that the unitary fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2025 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP the exposure of their products to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board’s analysis.
Federal Tax Information
For the taxable year ended July 31, 2026, the following distribution information is being provided as required by the Internal Revenue Code of 1986, as amended, or to meet a specific state’s requirement. The Funds designate the following percentages or, if subsequently determined to be different, the maximum amount allowable for their fiscal year ended July 31, 2026:
 
Page 31
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
 
Tax Exempt
Interest
Dividends
Alternative
Minimum
Tax (AMT)
First Trust California Municipal High Income ETF
99.63
%
12.54
%
First Trust New York Municipal High Income ETF
99.10
%
11.94
%
Page 32
 
 
 
Annual Financial
Statements and
Other Information
For the Year Ended
July 31, 2026
 
First Trust Exchange-Traded Fund III
 
First Trust Short Duration Managed Municipal ETF (FSMB)
First Trust Ultra Short Duration Municipal ETF (FUMB)
Table of Contents 
First Trust Exchange-Traded Fund III
Annual Financial Statements and Other Information
July 31, 2026 
Performance and Risk Disclosure
There is no assurance that any series of First Trust Exchange-Traded Fund III (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, as the “Funds”) will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
First Trust Advisors L.P., the Funds’ advisor, may also periodically provide additional information on Fund performance on each Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data that provides insight into each Fund’s performance and investment approach.
The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments
July 31, 2026
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS — 99.2%
Alabama — 6.7%
$1,500,000
Baldwin Cnty AL Indl Dev Auth Sol Wst Disp Rev Var Novelis
Corp Proj, Ser A, AMT (Mandatory put 03/01/33) (a)
4.30%
03/01/56
$1,488,087
1,250,000
Baldwin Cnty AL Indl Dev Auth Sol Wst Disp Rev Var Novelis
Corp Proj, Ser B, AMT (Mandatory put 06/01/32) (a)
4.63%
06/01/55
1,265,607
1,035,000
Black Belt Energy Gas Dist AL Gas Proj Rev Bonds Proj No 7,
Ser C-1 (Mandatory put 12/01/26)
4.00%
10/01/52
1,042,967
490,000
Black Belt Energy Gas Dist AL Gas Proj Rev Proj No 6, Ser B
(Mandatory put 12/01/26)
4.00%
10/01/52
494,320
550,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser B
5.00%
12/01/30
574,259
1,165,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1
5.25%
12/01/27
1,190,748
1,000,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory
put 06/01/29)
5.25%
02/01/53
1,042,887
745,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser D
5.00%
11/01/31
775,920
750,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser E
5.00%
07/01/31
776,971
3,240,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F
5.00%
12/01/31
3,383,124
1,000,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser G
5.00%
06/01/28
1,026,721
2,200,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser G
5.00%
06/01/30
2,290,125
3,385,000
Black Belt Energy Gas Dist AL Gas Sply Rev Ref, Ser D1
(Mandatory put 06/01/27)
4.00%
07/01/52
3,407,881
1,000,000
Black Belt Energy Gas Dist AL Gas Sply Rev, Ser B (Mandatory
put 12/01/30)
5.25%
12/01/53
1,063,721
1,000,000
Energy SE AL A Cooperative Dist Energy Sply Rev, Ser B
(Mandatory put 06/01/32)
5.25%
07/01/54
1,060,852
100,000
Midcity Impt Dist AL Spl Assmnt Rev
3.88%
11/01/27
98,952
2,500,000
Mobile AL Indl Dev Brd Poll Control Rev Var AL Pwr Co Barry
Plant Remk (Mandatory put 03/15/29)
2.75%
07/15/34
2,474,314
300,000
Mobile AL Indl Dev Brd Rev Var AL Pwr Co Barry Plt PJ,
Ser B (b)
3.15%
09/01/31
300,000
2,315,000
SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put
10/01/28)
4.00%
11/01/51
2,336,662
2,095,000
SE Energy Auth AL Cmdy Sply Rev Proj #2, Ser B
4.00%
06/01/30
2,103,957
500,000
SE Energy Auth AL Cmdy Sply Rev Proj No 3, Ser A-1
5.00%
12/01/26
502,593
2,210,000
SE Energy Auth AL Cooperative Dist Gas Sply Rev, Ser F
5.25%
11/01/30
2,321,605
6,000,000
SE Energy Auth AL Cooperative, Ser C (Mandatory put 11/01/32)
5.00%
10/01/55
6,270,404
750,000
SE Energy Auth AL Cooperative, Ser E
5.00%
10/01/29
787,600
1,205,000
SE Energy Auth AL Cooperative, Ser H
5.00%
05/01/32
1,251,483
480,000
SE Energy Auth AL Cooperative, Ser H
5.00%
05/01/33
498,960
2,120,000
Selma AL Indl Dev Brd Rev Var Intl Paper Co Proj Ref Remk,
Ser A (Mandatory put 10/01/31)
3.45%
11/01/33
2,107,256
 
41,937,976
Arizona — 1.4%
1,630,000
AZ Indl Dev Auth Hosp Rev Phoenix Children’s Hosp, Ser A
5.00%
02/01/35
1,712,894
800,000
AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, Ser
B (a)
5.00%
07/01/29
802,771
530,000
AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red
Rock Cmps Proj, Ser A
3.55%
07/15/29
517,313
505,000
AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada
& St Rose Cmps, Ser A (a)
5.00%
07/15/28
505,232
430,000
AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV
Proj, Ser A (a)
4.00%
07/15/31
423,072
See Notes to Financial Statements
Page 1
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Arizona (Continued)
$500,000
AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Equitable
Sch Revolving Fund Sustainable Bonds, Ser A
4.00%
11/01/27
$500,197
1,010,000
Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj
Remk, AMT (Mandatory put 06/15/28)
4.10%
12/01/37
1,021,340
2,375,000
Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj,
Ser 2022-2, AMT (Mandatory put 09/01/27)
5.00%
09/01/52
2,397,847
1,000,000
Tempe AZ Indl Dev Auth Rev Temps 50 Friendship Vlg of Tempe
Proj, Ser B-2
3.50%
12/01/30
989,206
 
8,869,872
Arkansas — 0.9%
2,500,000
AR Dev Fin Auth Envrnmntl Rev Var United States Steel Corp
Proj, Ser A, AMT (Mandatory put 03/01/33) (a)
4.00%
09/01/46
2,493,342
2,000,000
AR St Dev Fin Auth Res Recovery Rev Var Weyerhaeuser Co Proj,
AMT (Mandatory put 10/15/32)
3.88%
10/15/65
1,996,708
975,000
Fayetteville AR Pub Facs Brd Retmnt Facs Rev Butterfield Trail
Vlg Proj
5.00%
12/01/36
1,039,275
 
5,529,325
California — 4.6%
350,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bond, Ser A-1 (Mandatory put 08/01/28)
4.00%
05/01/53
353,095
2,000,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bond, Ser B-1 (Mandatory put 08/01/31)
4.00%
02/01/52
1,999,484
1,640,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bond, Ser B-1 (Mandatory put 08/01/29)
5.00%
07/01/53
1,700,320
910,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bond, Ser E (Mandatory put 09/01/32)
5.00%
02/01/55
953,060
500,000
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable
Bonds, Ser E
5.00%
07/01/31
531,202
1,900,000
CA Hsg Fin Agy Ltd Oblig Mf Hsg Rev Var 5035 Coliseum Street
Proj, Ser NN (Mandatory put 10/01/26)
2.95%
02/01/56
1,898,960
1,250,000
CA St Hlth Facs Fing Auth Rev Initial Entrance Fees, Ser A
3.85%
11/15/27
1,250,348
1,200,000
CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj
Remk, Ser A, AMT (Mandatory put 09/15/26)
2.88%
03/01/56
1,199,533
2,500,000
CA St Muni Fin Auth Sol Wst Disp Rev Var Wst Mgmt Inc
Remk, Ser A, AMT (Mandatory put 10/02/28)
3.45%
10/01/41
2,506,674
3,000,000
CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT
4.00%
07/15/29
3,016,974
750,000
CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs
Inc Proj Remk, AMT (Mandatory put 08/17/26) (a)
2.88%
07/01/43
749,900
2,000,000
CA St Poll Control Fin Auth Sol Wst Disp Rev Var Wst Mgmt Proj
Remk, Ser A, AMT (Mandatory put 07/02/29)
4.25%
07/01/31
2,021,592
235,000
CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies
Oceanside Proj, Ser A (a)
4.00%
10/01/27
235,359
500,000
Centrl Vly CA Energy Auth Cmdy Sply Rev
5.00%
08/01/30
519,540
100,000
Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs
Ranch
4.00%
09/01/26
100,056
475,000
Fontana CA Spl Tax Cmnty Facs Dt #109
5.00%
09/01/30
497,789
260,000
Fontana CA Spl Tax Cmnty Facs Dt #109
5.00%
09/01/32
274,863
730,000
Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT
5.00%
05/15/29
768,223
730,000
Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT
5.00%
05/15/31
763,288
1,000,000
Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT
5.00%
05/15/35
1,035,673
500,000
Ontario CA Cmnty Facs Dist #64 Spl Tax Sunset Ranch
5.00%
09/01/30
520,913
See Notes to Financial Statements
Page 2
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
California (Continued)
$525,000
Ontario CA Cmnty Facs Dist #64 Spl Tax Sunset Ranch
5.00%
09/01/31
$549,973
100,000
Orange Cnty CA Cmnty Facs Dist Cmnty Facs Dt #2025 1 Impt
Area #1 Rienda 3, Ser A
5.00%
08/15/30
104,308
100,000
Orange Cnty CA Cmnty Facs Dist Cmnty Facs Dt #2025 1 Impt
Area #1 Rienda 3, Ser A
5.00%
08/15/31
104,367
85,000
Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1
4.00%
09/01/26
85,037
2,000,000
San Diego Cnty CA Regl Arpt Auth Arpt Rev Sr Priv Activity,
Ser B, AMT
5.00%
07/01/31
2,150,907
445,000
San Diego Cnty CA Regl Arpt Auth Arpt Rev Sub Rev, Ser B,
AMT
5.00%
07/01/35
450,322
1,985,000
San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A,
AMT
5.00%
05/01/34
2,063,357
80,000
San Francisco CA City & Cnty Dev Spl Tax Dist No Mission Rock
Fac and Svcs, Ser A (a)
4.00%
09/01/26
80,036
100,000
San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax
4.00%
09/01/26
100,054
 
28,585,207
Colorado — 3.1%
500,000
CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch
Univ Lab Bldg Corp (a)
5.00%
12/15/28
500,316
400,000
CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A
5.00%
11/01/26
401,878
460,000
CO St Hlth Facs Auth Rev Ref Christian Living Cmntys Obligated
Grp
5.00%
01/01/31
489,873
565,000
CO St Hlth Facs Auth Rev Ref Christian Living Cmntys Obligated
Grp
5.00%
01/01/32
605,454
560,000
CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1
5.00%
08/01/36
577,436
1,035,000
CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-2
5.00%
08/01/31
1,080,905
505,000
CO St Hlth Facs Auth Rev Ref Covenant Living Cmntys and Svcs
5.00%
12/01/29
528,891
1,000,000
CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty
Proj, Ser A
5.25%
05/15/30
1,012,102
395,000
CO St Hlth Facs Auth Rev Ref, Ser A
5.00%
05/15/30
413,506
3,925,000
CO St Hlth Facs Auth Rev Var Advent Hlth Obligated Grp, Ser A
(Mandatory put 11/15/30)
5.00%
11/15/60
4,217,273
1,000,000
CO St Hlth Facs Auth Rev Var Intermountain Hlthcare,
Ser E (b)
2.95%
05/15/62
1,000,000
2,000,000
CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, Ser C
(Mandatory put 08/15/28)
5.00%
05/15/62
2,082,847
1,250,000
Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT
5.00%
12/01/29
1,299,159
1,290,000
Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT
5.00%
12/01/31
1,335,518
760,000
Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT
5.00%
12/01/32
785,243
1,215,000
Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT
5.00%
12/01/34
1,249,637
500,000
Sand Creek CO Met Dist Ref Ltd Tax, Ser A
4.00%
12/01/31
496,150
1,055,000
Traditions CO Met Dist #2 Ref, BAM
5.00%
12/01/32
1,060,770
 
19,136,958
Connecticut — 1.2%
1,000,000
CT St Hlth & Eductnl Facs Auth Rev Fairview Issue Temps 50,
Ser B-3
4.40%
12/15/31
1,002,421
215,000
CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A
5.00%
07/01/30
227,522
1,365,000
CT St Hsg Fin Auth Ref St Supported Spl Oblig, Ser 21, AMT
4.00%
06/15/30
1,365,229
525,000
CT St Ref, Ser B
5.00%
12/01/28
552,235
See Notes to Financial Statements
Page 3
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Connecticut (Continued)
$2,000,000
CT St Spl Tax Oblig Rev Transprtn Infra, Ser A
5.00%
09/01/30
$2,003,597
2,000,000
Stamford CT Hsg Auth Mozaic Concierge Living Proj, Ser D
4.25%
10/01/30
2,012,923
 
7,163,927
Delaware — 0.4%
2,350,000
DE St Econ Dev Auth Rev Ref Delmarva Pwr & Light Co Proj
Remk, Ser A
3.60%
01/01/31
2,389,426
District of Columbia — 1.5%
1,000,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/28
1,040,161
1,295,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/30
1,341,669
1,305,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/31
1,402,158
2,250,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/31
2,417,515
525,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/31
557,033
2,145,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/35
2,260,986
 
9,019,522
Florida — 10.5%
985,000
Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 3
Master Impt Proj
2.75%
05/01/31
918,463
100,000
Avelar Creek FL CDD Spl Assmnt Ref Spl Assmnt, Ser 2016
3.63%
05/01/31
97,276
950,000
Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Assmt
Area 3A (a)
4.50%
11/01/29
961,669
55,000
Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj,
Ser 2022
4.13%
05/01/27
55,152
645,000
Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One
3.13%
05/01/31
608,519
50,000
Black Creek FL CDD Spl Assmnt Expansion Area Proj
4.80%
06/15/27
50,337
1,415,000
Brightshore CDD FL Capital Impt Rev
4.00%
05/01/32
1,362,783
1,285,000
Broward Cnty FL Port Facs Rev Sr Bond, Ser B, AMT
5.00%
09/01/28
1,326,328
600,000
Buckhead Trails II CDD FL Spl Assmnt Proj, Ser 2026
4.13%
05/01/33
583,767
2,000,000
Capital Trust Auth FL Hlth Care Facs Rev Ref UF Hlth Projs,
Ser A, AG
5.00%
12/01/32
2,164,197
40,000
Creekview CDD FL Spl Assmnt Rev Phase I Proj
3.88%
05/01/27
39,849
120,000
Cross Creek N CDD FL Spl Assmnt, Ser 2022
3.40%
05/01/27
119,962
930,000
Cypress Preserve Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area
2
3.75%
11/01/31
896,177
360,000
Cypress Reserve CDD FL Capital Impt Rev (a)
4.00%
05/01/30
352,326
210,000
Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two
3.00%
05/01/27
208,617
350,000
Epperson N CDD FL Capital Impt Rev Assmnt Area #2
3.00%
05/01/31
330,935
715,000
Escambia Cnty FL Envrnmntl Impt Rev Var Ref Intl Paper Co Proj
Remk, Ser B (Mandatory put 10/01/31)
3.45%
11/01/33
710,702
2,500,000
FL Dev Fin Corp Hlthcare Facs Rev Var Tampa General Hosp
Proj, Ser B (Mandatory put 10/01/31)
5.00%
08/01/56
2,678,791
500,000
FL St Dept Gen Svcs Div Facs Mgmt Rev Ref FL Facs Pool, Ser A
4.00%
09/01/30
505,863
750,000
FL St Dev Fin Corp Sol Wst Disp Rev Var Wst Mgmt Inc Proj,
Ser A, AMT (Mandatory put 09/01/28)
3.40%
09/01/50
751,039
1,000,000
FL St Dev Fin Corp Sol Wst Disp Rev Var Wst Pro USA Inc Proj,
AMT (Mandatory put 04/02/31)
4.35%
04/01/37
993,719
1,000,000
FL St Dev Fin Corp Sol Wst Disp Rev Wst Pro USA Inc Proj
Remk, AMT (a)
4.50%
07/01/32
992,884
1,250,000
FL St Hsg Fin Corp Mf Mtge Rev Var Maison at Solvita
Marketplace, Ser G-2 (Mandatory put 05/01/28)
3.50%
11/01/42
1,256,810
See Notes to Financial Statements
Page 4
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Florida (Continued)
$2,000,000
FL St Hsg Fin Corp Mf Mtge Rev Var The Enclave at Canopy
Park, Ser I (Mandatory put 01/01/28)
3.30%
07/01/58
$2,002,972
1,750,000
FL St Hsg Fin Corp Var The Sailx On Vine, Ser E (Mandatory put
06/01/27)
3.80%
06/01/42
1,750,632
440,000
GIR E CDD FL Capital Impt Rev Assmnt Area One
4.30%
05/01/32
436,657
800,000
Groves at Lake Marion CDD FL Spl Assmnt (a)
4.00%
12/15/33
772,222
450,000
Gtr Orlando FL Aviation Auth Arpt Facs Rev, Ser A, AMT
5.00%
10/01/31
471,477
720,000
Hidden Creek N Cmnty Dev Dist FL Spl Assmnt, Ser A1
4.00%
11/01/30
718,793
1,865,000
Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel
Assmnt Area (a)
3.50%
05/01/31
1,803,058
1,250,000
Hillsborough Cnty FL Hsg Fin Auth Mf Rev Var The Loop
(Mandatory put 07/01/28)
3.45%
01/01/43
1,250,479
210,000
Hyde Park CDD #1 FL Spl Assmnt, Ser A
4.75%
05/01/31
210,487
1,000,000
Kingston One CDD FL Spl Assmnt Assmnt Area One 2025 Proj
Area
4.25%
05/01/30
999,092
750,000
Lakes By The Bay S FL CDD Assmnt Ref
5.00%
05/01/27
756,457
930,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Country
Club E Proj
5.35%
05/01/34
950,008
535,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Del Webb
Proj (a)
5.00%
05/01/37
537,397
1,710,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Lakewood
Ranch SE Proj
5.00%
05/01/30
1,786,675
235,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev NE Sector
Proj Phase 1A
4.25%
05/01/28
237,284
40,000
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev
Stewardship Dist Azario Proj
3.40%
05/01/30
39,315
1,000,000
Lee Cnty FL Arpt Rev Var, Ser A-2, AMT (Mandatory put
10/01/31)
5.00%
10/01/56
1,058,249
1,000,000
Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point
Obligated Grp, Ser B-2 (Temps-65)
4.38%
11/15/29
1,001,754
1,000,000
Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point
Obligated Grp, Ser B-3 (Temps-50)
4.13%
11/15/29
1,000,775
240,000
Lee Cnty FL Indl Dev Auth Hosp Rev Exchange Ref Lee Hlth
Sys, Ser 2019 A-1
5.00%
04/01/35
248,272
720,000
Legacy Palm Drive CDD FL Capital Impt Rev
4.10%
05/01/31
711,412
515,000
Liberty Cove CDD FL Spl Assmnt Rev Assmnt Area One Proj
4.80%
05/01/31
516,055
110,000
LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area
Two Proj Pod 5, Ser AA2
4.85%
05/01/31
110,864
3,000,000
Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT
5.00%
10/01/31
3,207,234
130,000
Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT
5.00%
10/01/38
130,053
1,275,000
Miami-Dade Cnty FL Indl Dev Auth Sol Wst Disp Rev Var Wst
Mgmt Inc Proj Remk, Ser B, AMT (Mandatory put 07/01/27)
3.25%
11/01/48
1,273,364
2,000,000
Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT
5.00%
10/01/30
2,113,760
850,000
Nthrn Palm Beach Cnty FL Impt Dist
2.88%
08/01/31
785,277
230,000
Old Hickory CDD FL Spl Assmnt Spl Asmt
3.00%
06/15/30
221,716
3,715,000
Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys
Inc Oblig Grp
5.00%
11/15/32
3,722,219
295,000
Parrish Lakes CDD Capital Impt Rev Assmnt Area Three
5.00%
05/01/31
298,334
1,010,000
Pensacola FL Arpt Rev, AMT
5.00%
10/01/31
1,083,218
45,000
Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a)
2.38%
12/15/26
44,805
290,000
Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area
4.00%
05/01/30
292,232
See Notes to Financial Statements
Page 5
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Florida (Continued)
$1,000,000
S Kendall FL CDD Spl Assmnt Ref
4.00%
11/01/31
$990,119
400,000
Saltleaf CDD FL Capital Impt Rev
4.13%
05/01/31
395,990
450,000
Saltleaf CDD FL Capital Impt Rev
4.75%
05/01/31
453,420
715,000
San Simeon Cmnty Dev Dist FL Spl Assmnt (a)
3.75%
06/15/31
695,594
605,000
Shell Point Cmnty Dev Dist FL Spl Assmnt (a)
4.50%
11/01/29
610,088
80,000
Silver Palms W CDD FL Spl Assmnt 2022 Proj
2.60%
06/15/27
79,230
765,000
Silver Palms W CDD FL Spl Assmnt 2022 Proj
3.00%
06/15/32
720,965
270,000
Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (a)
3.00%
06/15/31
251,856
545,000
Sugarloaf CDD FL Capital Impt Rev Assmnt Area One
4.00%
12/15/33
525,085
390,000
Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj
3.30%
05/01/31
374,541
550,000
Sunrise CDD FL Capital Impt Rev (a)
4.25%
05/01/30
544,068
1,650,000
Tern Bay CDD FL Spl Assmnt
3.40%
06/15/32
1,564,309
455,000
The Heights CDD FL Spl Assmnt Rev CDD
4.00%
01/01/28
455,230
110,000
Timber Creek SW CDD FL Spl Assmnt Area Two Proj
2.35%
12/15/26
109,415
825,000
Tolomato FL CDD Ref 2022A Assmnt Area, Ser A, AG
3.00%
05/01/28
823,271
185,000
Two Rivers W CDD FL Spl Assmnt Proj, Ser 2024
4.80%
05/01/31
186,555
345,000
V-Dana CDD FL Spl Assmnt Assmnt Area Two 2025 Proj Area
4.45%
05/01/32
346,483
1,525,000
Venice FL Temps 50 Vlg on The Isle Proj, Ser B-3 (a)
4.25%
01/01/30
1,525,013
485,000
Veranda CDD II FL Spl Assmnt Rev Ref Assmt Area 3 Preserve E
Proj
4.25%
05/01/31
488,184
140,000
Villamar CDD FL Spl Assmnt
4.00%
05/01/29
140,336
540,000
Vivid Shores Cmnty Dev Dist FL Spl Assmnt 2025 Proj Area
4.00%
05/01/30
535,254
425,000
Volusia Cnty FL Eductnl Fac Auth Stetson Univ Inc Proj
5.00%
06/01/30
443,796
1,400,000
W Vlgs FL Impt Dist Ref Spl Assmt Unit Dev #1
4.50%
05/01/32
1,400,724
570,000
W Vlgs FL Impt Dist Unit of Dev #10 Assmnt Area Two
4.00%
05/01/30
564,796
600,000
Woodlands Section 9 CDD FL Spl Assmnt
4.25%
05/01/31
586,609
 
65,319,694
Georgia — 4.9%
1,000,000
Appling Cnty GA Dev Auth Var GA Pwr Co Plt Hatch Proj (b)
3.15%
09/01/41
1,000,000
2,500,000
Atlanta GA Arpt Rev Ref, Ser B, AMT
5.00%
07/01/30
2,659,839
2,500,000
Atlanta GA Urban Rsdl Fin Auth Mf Hsg Rev Var N Block
(Mandatory put 02/01/28)
3.40%
02/01/29
2,506,744
2,000,000
Bartow Cnty GA Dev Auth Solid Wst Disp Fac Rev Var GA Pwr
Co Plt Bowen Proj, AMT (b)
3.15%
11/01/62
2,000,000
250,000
Bartow Cnty GA Dev Auth Var Ref GA Pwr Co Plt Bowen Proj
Remk, First Ser (Mandatory put 03/08/28)
3.95%
12/01/32
253,330
875,000
Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plant
Vogtle Proj Remk, 5th Ser (Mandatory put 06/13/28)
3.70%
10/01/32
884,288
3,800,000
Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co
Plant Vogtle Proj (b)
3.05%
11/01/52
3,800,000
1,500,000
Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co
Plant Vogtle Remk, 1st Ser (Mandatory put 03/12/27)
3.38%
11/01/53
1,502,514
250,000
Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth
Sys Inc Proj, Ser B
5.00%
04/01/27
253,651
420,000
GA St Hsg & Fin Auth Rev Ref, Ser C
3.50%
06/01/31
424,373
650,000
GA St Hsg & Fin Auth Rev Ref, Ser C
3.55%
12/01/31
656,330
1,000,000
Main Street Energy Inc Energy Proj Rev, Ser A
5.00%
10/01/33
1,047,824
3,700,000
Main Street Energy Inc Energy Proj Rev, Ser D
5.00%
12/01/33
3,844,043
2,000,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser A
5.00%
06/01/29
2,058,358
See Notes to Financial Statements
Page 6
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Georgia (Continued)
$880,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put
09/01/27)
4.00%
07/01/52
$887,868
510,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put
12/01/29)
4.00%
09/01/52
512,256
1,290,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put
09/01/26)
4.00%
03/01/50
1,291,228
1,950,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put
04/01/31)
5.00%
04/01/54
2,049,792
100,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put
12/01/30)
5.00%
05/01/54
104,123
2,000,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser E (Mandatory put
12/01/32)
5.00%
05/01/55
2,085,551
500,000
Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj M Bonds,
Ser A
5.00%
01/01/38
510,379
 
30,332,491
Guam — 0.1%
250,000
Guam Govt Busn Privilege Tax Rev Ref, Ser F
5.00%
01/01/28
255,592
360,000
Guam Pwr Auth Rev Ref, Ser A
5.00%
10/01/33
364,107
 
619,699
Hawaii — 0.2%
1,000,000
Honolulu City & Cnty HI Wstwtr Sys Rev Sr, Ser A
5.00%
07/01/29
1,001,705
Illinois — 2.9%
40,000
Chicago IL Brd of Edu Chicago Sch Reform Brd, Ser A, NATL-RE
5.50%
12/01/26
40,181
500,000
Chicago IL Midway Arpt Rev Ref Sr Lien, Ser A, AMT, BAM
5.00%
01/01/27
504,430
2,000,000
Chicago IL Midway Arpt Rev Ref Sr, Ser C, AMT
5.00%
01/01/33
2,146,514
520,000
Chicago IL O’Hare Intl Arpt Rev Gen Sr Lien, Ser D, AMT
5.00%
01/01/29
523,907
3,000,000
IL St Dev Fin Auth Sol Wst Disp Rev Var Wst Mgmt Inc Proj
Remk, AMT (Mandatory put 11/02/26)
3.45%
11/01/44
3,004,266
225,000
IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C
5.00%
02/15/27
227,596
2,000,000
IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C
5.00%
02/15/30
2,018,223
1,000,000
IL St Hsg Dev Auth Mf Hsg Rev Var Island Terrace Remk
(Mandatory put 04/01/28)
2.80%
08/01/28
992,758
665,000
IL St Hsg Dev Auth Rev Homeowner Mtge, Subser A-1
3.15%
02/01/28
664,674
2,000,000
IL St, Ser A
5.00%
12/01/31
2,041,303
250,000
IL St, Ser B
5.00%
05/01/28
258,651
2,365,000
IL St, Ser C
5.00%
11/01/29
2,418,122
1,055,000
Rock Island Cnty IL Sch Dist #41 Rock Island, BAM
5.00%
12/01/29
1,100,509
1,000,000
Sales Tax Securitization Corp IL Ref, Ser C
5.25%
01/01/35
1,041,143
1,000,000
Wauconda IL Spl Svc Area #1 Spl Tax Ref, BAM
5.00%
03/01/33
1,000,702
 
17,982,979
Indiana — 3.2%
1,465,000
IN St Fin Auth Econ Dev Rev Var Ref Rep Svcs Inc Proj Remk,
Ser A, AMT (Mandatory put 09/01/26)
2.90%
05/01/28
1,464,662
2,000,000
IN St Fin Auth Envrnmntl Facs Rev Var Ref IN Pwr & Light Co
Proj, Ser A
1.40%
08/01/29
1,834,174
1,350,000
IN St Fin Auth Envrnmntl Rev Ref Var Duke Energy IN Inc Proj
Remk, Ser A-1, AMT (Mandatory put 06/01/32)
4.50%
05/01/35
1,356,736
730,000
IN St Fin Auth Hlth Fac Rev Margaret Mary Hlth Proj, Ser A
5.00%
03/01/30
756,699
3,000,000
IN St Fin Auth Hlth Sys Rev Var Ref Franciscan Alliance Inc
Obligated Grp, Ser E (b)
3.00%
11/01/56
3,000,000
See Notes to Financial Statements
Page 7
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Indiana (Continued)
$1,250,000
IN St Fin Auth Hlth Sys Rev Var Ref IN Univ Hlth, Ser D-1
(Mandatory put 10/01/29)
5.00%
10/01/64
$1,315,385
25,000
IN St Fin Auth Rev BHI Sr Living, Ser A
4.00%
11/15/26
25,027
1,000,000
IN St Fin Auth Rev Greenwood Vlg S Proj Temps 50SM, Ser C-2
3.75%
05/15/32
999,722
570,000
IN St Fin Auth Rev Ref Marquette Proj, Ser A
5.00%
03/01/27
575,316
600,000
IN St Fin Auth Rev Ref Marquette Proj, Ser A
5.00%
03/01/28
614,927
2,260,000
Indianapolis IN Loc Pub Impt Bond Bank Ref Indianapolis Arpt
Auth Proj, Ser I-2, AMT
5.00%
01/01/31
2,407,968
1,425,000
La Porte IN Multi Sch Bldg Corp 1st Mtge
3.00%
07/15/32
1,344,249
3,065,000
Whiting IN Envrnmntl Facs Rev Var BP Products N America Inc
Proj Remk, AMT (Mandatory put 06/10/31)
4.40%
11/01/45
3,131,906
1,000,000
Whiting IN Envrnmntl Facs Rev Var Ref BP Products N America
Inc Remk, Ser A, AMT (Mandatory put 06/10/33)
4.00%
12/01/44
999,040
 
19,825,811
Iowa — 0.8%
1,000,000
IA St Brd Regents Hosp Rev Univ of IA Hlth Cares Hosp Sys,
Ser A
5.00%
09/01/27
1,023,728
1,500,000
IA St Fin Auth Rev Var Ref Lifespace Cmnty Remk, Ser B
(Mandatory put 05/15/31)
3.95%
05/15/56
1,500,000
2,395,000
Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26)
5.00%
09/01/49
2,398,547
335,000
Pefa Inc IA Gas Proj Rev Ref Gas Proj, Ser A
5.00%
04/01/30
348,581
 
5,270,856
Kansas — 0.1%
750,000
Univ of KS KS Hosp Auth Hlth Facs Rev Var The Univ KS Hlth
Sys, Ser B (Mandatory put 03/01/30)
5.00%
03/01/55
792,571
Kentucky — 3.5%
1,000,000
Boone Cnty KY Poll Control Rev Ref Duke Energy KY Inc Proj
Remk, Ser A
3.70%
08/01/27
1,003,622
500,000
KY Bond Dev Corp Rev Univ of KY Central Util Plant Proj, Ser A
5.00%
04/30/31
535,476
1,065,000
KY St Interlocal Sch Transprtn Assn Equipment Lease Re, COPS
4.00%
03/01/29
1,088,382
3,290,000
KY St Pub Energy Auth Gas Sply Rev Ref, Ser A (Mandatory put
12/01/29)
5.25%
06/01/55
3,460,496
1,060,000
KY St Pub Energy Auth Gas Sply Rev Ref, Ser B
5.00%
08/01/28
1,089,918
280,000
KY St Pub Energy Auth Gas Sply Rev Ref, Ser B
5.00%
08/01/29
289,511
3,760,000
KY St Pub Energy Auth Gas Sply Rev Ref, Ser B (Mandatory put
08/01/32)
5.00%
01/01/55
3,917,626
325,000
KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put
02/01/28)
4.00%
02/01/50
327,452
2,000,000
Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Var Norton
Hlthcare Inc, Ser C (b)
3.10%
10/01/53
2,000,000
1,100,000
Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj
Sustainable Bond, Ser B-1 (b)
3.50%
08/01/61
1,100,000
1,860,000
Owensboro KY Wtr Rev Ref & Impt
3.50%
09/15/31
1,856,608
1,195,000
Paducah KY Elec Plant Brd Rev Ref, Ser A, AG
5.00%
10/01/30
1,199,084
2,500,000
Trimble Cnty KY Envrnmntl Facs Rev Ref Louisville Gas Elec Co
Proj, Ser A
3.75%
06/01/33
2,470,495
1,580,000
Trimble Cnty KY Envrnmntl Facs Rev Var Louisville Gas & Elec
Co Proj, Ser A, AMT (Mandatory put 06/01/27)
4.70%
06/01/54
1,591,067
 
21,929,737
See Notes to Financial Statements
Page 8
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Louisiana — 1.4%
$1,200,000
LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Hosp
Womans Fdtn Proj, Ser A
5.00%
10/01/33
$1,218,308
2,000,000
Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk
(Mandatory put 06/01/30)
3.70%
08/01/41
2,003,910
4,000,000
Saint John The Baptist Parish LA Rev Var Ref Marathon Oil Corp
Proj Remk, Ser C (Mandatory put 07/03/28)
3.30%
06/01/37
4,076,659
1,500,000
Saint John The Baptist Parish LA Rev Var Ref Marathon Oil Corp
Proj Remk, Subser 2017-D (Mandatory put 07/02/29)
3.00%
06/01/37
1,490,378
 
8,789,255
Maine — 0.7%
1,530,000
ME St Fin Auth Loan Rev Ref Stdt Loan Rev Bond Class A,
Ser 2019A-1, AG, AMT
5.00%
12/01/26
1,538,487
320,000
ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser A
3.45%
11/15/31
317,933
525,000
ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser A
3.55%
11/15/32
519,532
2,000,000
ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser C
3.25%
11/15/30
1,981,923
 
4,357,875
Maryland — 1.5%
435,000
Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at
Marley Station, Ser D-1
3.55%
08/01/31
434,631
345,000
Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at
Marley Station, Ser D-1
3.60%
02/01/32
347,346
3,000,000
Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at
Marley Station, Ser D-2
3.30%
01/01/29
3,010,654
1,550,000
MD St Econ Dev Corp Var Ref Constellation Energy Grp Proj
Remk, Ser B (Mandatory put 04/03/28)
4.10%
10/01/36
1,578,806
2,000,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Var Ref Medstar Hlth
Issue, Ser B (Mandatory put 08/15/33)
5.00%
08/15/56
2,160,036
2,000,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Var Univ of MD Med
Sys Issue, Ser C-1 (b)
3.10%
07/01/55
2,000,000
 
9,531,473
Massachusetts — 0.6%
2,000,000
MA St Dev Fin Agy Rev Lasell Vlg Inc
5.00%
07/01/29
2,087,656
1,500,000
MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a)
5.00%
11/15/33
1,537,643
 
3,625,299
Michigan — 1.6%
1,000,000
Detroit MI
5.00%
04/01/28
1,026,186
400,000
Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bonds, Ser B
5.00%
07/01/29
423,407
1,155,000
MI St Fin Auth Rev Multi Modal McLaren Hlth Care, Ser A
5.00%
02/15/29
1,207,158
155,000
MI St Fin Auth Rev Ref Hosp McLaren Hlth Care, Ser A
5.00%
05/15/27
155,225
1,790,000
MI St Fin Auth Rev Var Trinity Hlth Credit Grp, Ser B (Mandatory
put 12/01/28)
5.00%
12/01/43
1,853,276
2,000,000
MI St Strategic Fund Ltd Oblg Rev Var Consumers Energy Co Proj
Remk, AMT (Mandatory put 10/01/27)
3.35%
10/01/49
1,994,942
1,000,000
MI St Strategic Fund Ltd Oblg Rev Var DTE Elec Co Exempt Fac
Proj, Ser 2023-DT, AMT (Mandatory put 06/03/30)
3.88%
06/01/53
991,828
1,000,000
Wayne Cnty MI Arpt Auth Rev Ref Detroit Met Wayne Cnty
Arpt, Ser G, AMT
5.00%
12/01/31
1,071,370
930,000
Wayne Cnty MI Arpt Auth Rev, Ser B, AMT
5.00%
12/01/38
966,683
 
9,690,075
See Notes to Financial Statements
Page 9
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Minnesota — 0.6%
$1,380,000
Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Ref
Subser B, AMT
5.00%
01/01/35
$1,426,514
525,000
MN St Agric & Econ Dev Brd Hlth Care Sys Rev Ref Fairview
Hlth Svcs, Ser A
5.00%
11/15/30
555,658
850,000
MN St Agric & Econ Dev Brd Hlth Care Sys Rev Ref Fairview
Hlth Svcs, Ser A
5.00%
11/15/31
905,292
150,000
MN St Hsg Fin Agy Sustainable Bond, Ser A
2.70%
07/01/29
147,566
275,000
MN St Hsg Fin Agy Sustainable Bond, Ser A
2.75%
01/01/30
269,233
715,000
St Paul Park MN Hsg Rev Ref Presbyterian Homes Norris Square
Proj
4.00%
06/01/31
710,952
 
4,015,215
Mississippi — 0.7%
1,105,000
MS Busn Fin Corp MS Sol Wst Disp Fac & Wstwtr F Var MS Pwr
Co Proj, First Ser, AMT (b)
3.10%
11/01/52
1,105,000
1,330,000
MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA
Inc PJ, Ser A (b)
3.15%
12/01/30
1,330,000
850,000
MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA
Inc PJ, Ser E (b)
3.15%
12/01/30
850,000
1,150,000
Warren Cnty MS Gulf Opportunity Zone Ref Intl Paper Co Proj
Remk
4.00%
09/01/32
1,168,367
 
4,453,367
Missouri — 1.8%
1,000,000
Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intl
Arpt, Ser A, AMT
5.00%
03/01/30
1,058,146
1,000,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes
Hlth Sys Inc
4.00%
11/15/33
1,000,086
1,000,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref, Ser C
(Mandatory put 05/01/28)
5.00%
05/01/52
1,034,517
760,000
MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs
4.00%
02/01/28
767,045
500,000
MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A
5.00%
02/01/29
518,240
485,000
MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A
5.00%
02/01/30
505,386
650,000
MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser B
5.00%
02/01/28
650,540
800,000
MO St Hlth & Eductnl Facs Auth Var St Louis Univ, Ser B-1 (b)
3.00%
10/01/35
800,000
1,485,000
Pettis Cnty MO Sch Dist Sedalia Lease Sedalia Sch Dist No 200 of
Pettis Cnty MO Proj, COPS
5.00%
04/15/29
1,551,891
450,000
Phelps Cnty MO Hosp Rev Phelps Hlth
5.00%
12/01/32
481,413
910,000
St Louis Cnty MO Indl Dev Auth Sr Living Facs Friendship Vlg
Sunset Hills, Ser A
5.50%
09/01/33
910,997
1,700,000
Wentzville R-IV Sch Dist MO Lease, COPS
3.38%
04/01/29
1,690,589
 
10,968,850
Montana — 0.4%
2,395,000
Forsyth MT Poll Control Rev Ref Northwestern Corp Colstrip Proj
3.88%
07/01/28
2,422,126
Nebraska — 0.5%
1,000,000
Centrl Plains Energy Proj NE Gas Proj Rev Var Ref Proj #4, Ser A
(Mandatory put 11/01/29)
5.00%
05/01/54
1,039,103
1,500,000
Centrl Plains Energy Proj NE Gas Sply Rev, Subser A-1
(Mandatory put 08/01/31)
5.00%
08/01/55
1,579,113
400,000
Muni Energy Agy of NE Ref, Ser A
5.00%
04/01/28
401,545
 
3,019,761
See Notes to Financial Statements
Page 10
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Nevada — 0.7%
$120,000
Clark Cnty NV Sch Dist Bldg, Ser B, AG
5.00%
06/15/31
$125,062
225,000
Las Vegas NV Spl Impt Dist #808 & #810 Ref
5.00%
06/01/28
225,177
880,000
Las Vegas NV Spl Impt Dist #812 Loc Impt Summerlin Vlg 24
5.00%
12/01/31
880,546
100,000
Las Vegas NV Spl Impt Dist #816 Summerlin Vlg 22
2.50%
06/01/28
97,727
275,000
Las Vegas NV Spl Impt Dist #819 Summerlin Vlg 30A
4.50%
06/01/29
281,735
100,000
Las Vegas NV Spl Impt Dist #819 Summerlin Vlg 30A
4.00%
06/01/31
100,041
135,000
NV Dept of Busn & Ind NV Doral Acdmy, Ser A
5.00%
07/15/27
135,055
2,000,000
NV St Hsg Div Var Carville Park Apartments (Mandatory put
07/01/27)
5.00%
07/01/28
2,034,615
520,000
Sparks NV Tourism Impt Dist #1 Rev Sr Bond Legends at Sparks
Marina
3.88%
06/15/28
521,598
 
4,401,556
New Hampshire — 0.7%
1,175,000
Natl Fin Auth NH Pollution Control Rev Ref NY St Elec & Gas
Corp Proj, Ser A, AMT
4.00%
12/01/28
1,184,017
1,100,000
Natl Fin Auth NH Rev Winston Salem Sustainable Energy
Partners, Ser A
5.00%
06/01/31
1,167,914
700,000
Natl Fin Auth NH Spl Rev Emberly and Canterra Creek Projs (a)
5.38%
12/01/31
695,359
1,000,000
Natl Fin Auth NH Spl Rev Provence Proj, CABS (a)
(c)
12/01/31
702,277
300,000
NH St Hlth & Edu Facs Auth Rev Ref Dartmouth Hlth Oblig Grp
Issue
5.00%
08/01/31
322,039
 
4,071,606
New Jersey — 1.2%
2,000,000
NJ St
2.00%
06/01/29
1,910,073
580,000
NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit
Transprtn Proj Bonds, Ser A
5.00%
11/01/26
582,895
2,000,000
NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser GGG (a)
5.25%
09/01/26
2,003,520
1,500,000
NJ St Econ Dev Auth Wtr Facs Rev Var Ref NJ American Wtr Co
Inc Proj Remk, Ser B, AMT (Mandatory put 06/01/28)
3.75%
11/01/34
1,509,553
600,000
NJ St Hgr Edu Asst Auth Stdt Loan Rev Ref Stdt Asst Sr Stdt
Loan, Ser A, AMT
5.00%
12/01/30
633,808
850,000
NJ St Hgr Edu Asst Auth Stdt Loan Rev Ref Stdt Asst Sr Stdt
Loan, Ser A, AMT
5.00%
12/01/31
903,445
 
7,543,294
New Mexico — 1.0%
2,770,000
Farmington NM Poll Control Rev Var Ref Pub Svc Co NM San
Juan Proj Remk, Ser D (Mandatory put 06/01/28)
3.90%
06/01/40
2,795,432
3,180,000
NM St Muni Energy Acq Auth Gas Sply Ref (Mandatory put
11/01/30)
5.00%
06/01/54
3,350,104
 
6,145,536
New York — 6.3%
2,000,000
Build NYC Res Corp NY Rev Riverspring Hlth Sr Living Inc Proj
Temps 50, Ser B-4
5.00%
12/15/31
1,989,727
2,000,000
Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref
NRG Energy Proj Remk (Mandatory put 04/03/28)
4.25%
04/01/42
2,024,325
285,000
Kings Park NY Centrl Sch Dist, Ser B
3.00%
07/15/31
276,908
1,865,000
New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev
Bonds, Ser F-2A (Mandatory put 12/22/26)
3.40%
11/01/62
1,865,060
2,000,000
New York City NY Hsg Dev Corp Mf Hsg Rev Var Sustainable
Bond, Ser B-2 (Mandatory put 07/02/29)
3.95%
11/01/64
2,021,031
See Notes to Financial Statements
Page 11
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
New York (Continued)
$1,000,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev
Adjustable 2nd Gen Resolution Fiscal 2014, Ser AA-1 (b)
3.05%
06/15/50
$1,000,000
3,500,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref
Var 2nd Gen Resolution, Subser BB-1 (b)
3.05%
06/15/44
3,500,000
3,000,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var
Ref Sub 2nd General Resolution Fiscal 2026, Ser FF-2 (b)
3.10%
06/15/41
3,000,000
340,000
New York City NY Transitional Fin Auth Bldg Aid Rev Ref Fiscal
2018, Ser S-1
5.00%
07/15/35
345,312
300,000
New York NY Adjustable Fiscal 2020, Subser B-3 (b)
3.00%
10/01/46
300,000
800,000
NY Energy Fin Dev Corp Var (Mandatory put 12/01/33)
5.00%
07/01/56
813,970
2,000,000
NY St Envrnmntl Facs Corp Sol Wst Disp Rev Var Draw Down
Casella Wst Sys Inc Proj R-1 Remk, AMT (Mandatory put
09/03/30) (a)
4.25%
09/01/50
2,027,415
3,125,000
NY St Hsg Fin Agy Affordable Hsg Rev Var 320 W 38th Street
Hsg Remk, Ser A (Mandatory put 11/01/31)
3.57%
05/01/42
3,102,909
300,000
NY St Hsg Fin Agy Affordable Hsg Rev Var Hsg 160 W
62nd Street Remk, Ser A-2 (Mandatory put 04/01/32)
3.60%
11/01/44
299,104
1,000,000
NY St Hsg Fin Agy Rev Var Sustainable Bond, Ser D-2
(Mandatory put 11/01/31)
3.25%
05/01/66
990,978
1,500,000
NY St Hsg Fin Agy Rev Var Sustainable Bonds, Ser G-2
(Mandatory put 05/01/31)
3.35%
05/01/66
1,483,763
2,000,000
NY St Hsg Fin Agy Rev Var Sustanable Bond, Ser C-2 (Mandatory
put 11/01/30)
3.20%
05/01/66
1,964,393
500,000
NY St Hsg Fin Agy St Personal Income Tax Rev Var Sustainable
Bonds, Ser A-2 (Mandatory put 12/15/30)
3.45%
06/15/54
501,316
50,000
NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia
Arpt Terminals C&D Redev, AMT
4.00%
10/01/30
50,770
2,315,000
NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia
Arpt Terminals C&D Redev, AMT
5.00%
01/01/32
2,361,807
1,420,000
NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia
Arpt Terminals C&D Redev, AMT
5.00%
10/01/35
1,474,207
105,000
NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc
John F Kennedy Intl Arpt Proj, AMT
2.25%
08/01/26
105,000
560,000
Port Auth of NY & NJ NY Consolidated Bonds, Ser 214, AMT
5.00%
09/01/32
583,249
1,190,000
Port Auth of NY & NJ NY Ref, Ser 207, AMT
4.00%
03/15/30
1,200,138
2,030,000
Port Auth of NY & NJ NY Ref, Ser 207, AMT
5.00%
09/15/34
2,071,658
1,460,000
Port Auth of NY & NJ NY Ref, Ser 238, AMT
5.00%
07/15/34
1,574,015
2,000,000
Port Auth of NY & NJ NY Ref, Ser 249, AMT
5.00%
10/15/31
2,150,554
 
39,077,609
North Carolina — 3.1%
400,000
Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var
Atrium Hlth Remk, Ser D (Mandatory put 06/15/27)
3.63%
01/15/48
402,432
1,000,000
Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var
Atrium Hlth, Ser H (b)
3.00%
01/15/48
1,000,000
1,500,000
Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var Ref
Carolina Remk, Ser C (b)
3.00%
01/15/37
1,500,000
1,080,000
Charlotte NC Arpt Rev Charlotte Douglas Intl Arpt, Ser B, AMT
5.00%
07/01/27
1,099,963
250,000
Charlotte NC Arpt Rev, Ser A
5.00%
07/01/30
254,737
1,125,000
Charlotte NC Arpt Rev, Ser B, AMT
5.00%
07/01/30
1,195,227
1,000,000
NC Hsg Fin Agy Homeownership Rev 1998 Trust Agreement,
Ser 61
3.30%
07/01/32
977,150
See Notes to Financial Statements
Page 12
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
North Carolina (Continued)
$2,800,000
NC St Hsg Fin Agy Mf Hsg Rev Var Fitch Irick Portfolio
(Mandatory put 04/01/28)
5.00%
04/01/29
$2,887,688
375,000
NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For
The Aging Ref, Ser A
4.00%
03/01/29
379,708
1,000,000
NC St Med Care Commn Hlth Care Facs Rev Var Duke Univ Hlth
Sys, Ser B (Mandatory put 06/04/30)
5.00%
06/01/55
1,060,227
2,010,000
NC St Med Care Commn Retmnt Facs Rev Deerfield Episcopal
Retmnt Cmnty Proj Temps 70, Ser B-3
3.45%
11/01/30
1,972,958
680,000
NC St Med Care Commn Retmnt Facs Rev First Mtge Twin Lakes
Cmnty Temps 50, Ser B-2
3.90%
01/01/29
680,316
1,090,000
NC St Med Care Commn Retmnt Facs Rev Temps 50 Penick Vlg
Proj, Ser B-3
4.25%
09/01/28
1,092,209
1,250,000
NC St Med Care Commn Retmnt Facs Rev United Methodist
Retmnt Homes Proj Temps 70, Ser B-2
3.63%
10/01/30
1,249,991
170,000
Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT
5.00%
05/01/29
178,301
1,500,000
Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT
5.00%
05/01/34
1,515,235
1,620,000
Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT
5.00%
05/01/35
1,635,410
 
19,081,552
North Dakota — 0.3%
2,000,000
Cass Cnty ND Jt Wtr Res Dist Ref and Impt, Ser A
3.45%
04/01/27
1,997,938
Ohio — 2.6%
1,700,000
Columbus Franklin Cnty OH Fin Auth Mf Hsg Rev Var Castle
Creek Apartment (Mandatory put 06/01/29)
3.20%
06/01/44
1,694,094
550,000
Hamilton Cnty OH Hlth Care Facs Rev Ref The Christ Hosp
5.00%
06/01/30
583,389
800,000
Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj
5.00%
01/01/31
833,957
1,000,000
Lancaster OH Port Auth Gas Rev Ref, Ser A (Mandatory put
08/01/30)
5.00%
02/01/55
1,050,835
325,000
Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj
5.00%
09/01/30
343,238
350,000
Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj
5.00%
09/01/31
372,109
1,000,000
OH St Air Quality Dev Auth American Elec Pwr Co Proj Remk,
Ser A (Mandatory put 10/01/29)
2.40%
12/01/38
956,488
4,765,000
OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj,
Ser A, AMT (Mandatory put 06/01/27)
4.25%
11/01/39
4,796,938
765,000
OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj,
Ser B (Mandatory put 06/01/27)
4.00%
09/01/30
768,893
1,770,000
OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A
5.00%
01/01/33
1,812,207
2,000,000
OH St Hosp Rev Ref Var Univ Hosps Hlth Sys Inc, Ser C (b)
2.45%
01/15/51
2,000,000
1,000,000
OH St Hsg Fin Agy Mf Hsg Rev Var Tylers Creek Apt Proj
(Mandatory put 02/01/30)
3.15%
01/01/44
987,836
 
16,199,984
Oklahoma — 0.6%
1,500,000
Canadian Cnty OK Eductnl Facs Auth Educ Facs Lease Rev Yukon
Pub Schs Proj
5.00%
09/01/27
1,529,168
285,000
OK St Hsg Fin Agy Sf Mtge Rev Ref Homeownership Loan
Prog, Ser A
2.75%
09/01/29
280,643
300,000
Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest
City De City Pub Schs Proj
5.00%
10/01/26
300,888
See Notes to Financial Statements
Page 13
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Oklahoma (Continued)
$375,000
Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow
Pub Schs Proj
5.00%
09/01/30
$402,678
835,000
Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow
Pub Schs Proj
5.00%
09/01/31
907,106
 
3,420,483
Oregon — 0.7%
660,000
Astoria OR Hosp Facs Auth Columbia Memorial Hosp Proj
5.00%
08/01/31
701,004
260,000
Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT
5.00%
07/01/27
264,783
1,095,000
Port of Portland OR Arpt Rev, Ser 27-A, AMT
5.00%
07/01/31
1,158,149
2,000,000
Portland OR Swr Sys Rev 2nd Lien, Ser A
4.50%
05/01/31
2,002,090
260,000
Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj
4.00%
05/15/29
262,017
 
4,388,043
Pennsylvania — 3.4%
450,000
Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at
Wyomissing, Ser A
5.00%
05/15/32
452,770
2,000,000
Chester Cnty PA Indl Dev Auth Nts Avon Grove Chrt Sch
5.00%
03/01/27
2,001,575
2,450,000
Lehigh Cnty PA Indl Dev Auth Ref PPL Elec Util Corp Proj
Remk, Ser A
3.00%
09/01/29
2,437,335
2,000,000
Montgomery Cnty PA Indl Dev Auth Exempt Facs Rev
Constellation Energy Generation LLC Proj Ref, Ser B
4.10%
06/01/29
2,054,775
1,400,000
Northampton Cnty PA Gen Purpose Auth Hosp Rev Ref St Luke’s
Univ Hlth Network Proj, Ser A-1
5.00%
08/15/30
1,488,817
890,000
PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Draw
Down Rep Svcs Inc Remk, Ser B-2, AMT (Mandatory put
01/15/27)
3.05%
04/01/49
889,523
2,060,000
PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Wst Mgmt
Inc Proj Remk, AMT (Mandatory put 07/01/27)
4.25%
07/01/41
2,074,470
1,400,000
PA St Econ Dev Fing Auth Solid Wst Disposal Rev Wst Mgmt Inc
Proj Remk, Ser A, AMT (Mandatory put 08/02/27)
3.25%
08/01/38
1,400,287
2,100,000
PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot
Major Bridges Package One Proj P3 Proj, AMT
5.00%
12/31/29
2,190,812
405,000
PA St Ref, 1st Ser
5.00%
09/15/27
406,073
1,380,000
PA St Turnpike Commn Turnpike Rev Ref Mtr License Fund Enh
Trn Pke Subord
5.00%
12/01/30
1,388,608
415,000
PA St Turnpike Commn Turnpike Rev Ref Sub, Ser A
5.00%
12/01/36
416,892
2,370,000
Philadelphia PA Arpt Rev Ref Priv Activity, AMT
5.00%
07/01/32
2,523,567
865,000
Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance,
14th Ser
5.00%
10/01/29
867,894
830,000
Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance,
14th Ser
5.00%
10/01/33
832,329
 
21,425,727
Puerto Rico — 0.0%
125,000
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured,
Ser A-1, CABS
(c)
07/01/27
121,505
South Carolina — 1.6%
250,000
Berkeley Cnty SC Assmnt Rev Nexton Impt Dist
4.00%
11/01/30
247,372
2,320,000
SC Jobs Econ Dev Auth Envrnmntl Impt Rev Ref Intl Paper Co
Proj Remk, Ser A, AMT
3.95%
04/01/33
2,336,324
450,000
SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at
Furman
4.00%
11/15/27
449,974
See Notes to Financial Statements
Page 14
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
South Carolina (Continued)
$225,000
SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at
Furman
4.00%
11/15/32
$221,675
2,250,000
SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg
Proj, Ser B-3
4.00%
12/01/30
2,250,863
250,000
SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp
& S of Broad Hlthcare Proj
5.00%
11/15/27
254,004
250,000
SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp
& S of Broad Hlthcare Proj
5.00%
11/15/28
256,272
200,000
SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp
& S of Broad Hlthcare Proj
5.00%
11/15/29
206,043
225,000
SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp
& S of Broad Hlthcare Proj
5.00%
11/15/30
232,349
250,000
SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp
& S of Broad Hlthcare Proj
5.00%
11/15/31
258,839
1,250,000
SC St Jobs Econ Dev Auth Hosp Facs Rev Var Ref Bon Secours
Mercy Hlth Inc, Ser B-1 (Mandatory put 11/01/30)
5.00%
11/01/55
1,334,113
1,565,000
SC St Jobs Econ Dev Auth Hosp Facs Rev Var Ref Bon Secours
Mercy Hlth Inc, Ser B-2 (Mandatory put 11/01/32)
5.00%
11/01/49
1,698,315
 
9,746,143
South Dakota — 0.2%
1,005,000
SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty
Issue, Ser A
5.00%
09/01/31
1,079,008
440,000
SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty
Issue, Ser A
5.00%
09/01/32
474,521
 
1,553,529
Tennessee — 3.2%
350,000
Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd
Belmont Univ
5.00%
05/01/28
362,565
1,000,000
Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd
Vanderbilt Univ Med Ctr, Ser A
5.00%
07/01/31
1,070,079
1,000,000
Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd
Var Trinity Flats Apartments Remk, Ser B (Mandatory put
07/01/28)
3.65%
10/01/46
1,005,326
1,435,000
Met Nashville TN Arpt Auth Arpt Rev Subord, Ser B, AMT
5.00%
07/01/28
1,483,049
1,500,000
Met Nashville TN Arpt Auth Arpt Rev Subord, Ser B, AMT
5.00%
07/01/36
1,555,962
450,000
Met Nashville TN Arpt Auth Arpt Rev, Ser B, AMT
5.00%
07/01/27
457,870
2,340,000
Tennergy Corp TN Gas Rev, Ser A (Mandatory put 12/01/29)
5.00%
10/01/54
2,444,782
1,490,000
TN Hsg Dev Agy Rsdl Fin Prog Rev Non Ace Issue 1C, AMT
3.65%
07/01/30
1,489,978
2,000,000
TN Hsg Dev Agy Rsdl Fin Prog Rev Ref Issue 4
3.65%
07/01/33
1,981,113
250,000
TN Hsg Dev Agy Rsdl Fin Prog Rev Ref Sustainable Bond, Ser 1
3.00%
07/01/30
246,237
230,000
TN Hsg Dev Agy Rsdl Fin Prog Rev Ref Sustainable Bonds,
Ser 2-A
3.40%
01/01/31
225,655
210,000
TN Hsg Dev Agy Rsdl Fin Prog Rev Ref Sustainable Bonds,
Ser 2-A
3.45%
07/01/31
206,280
1,750,000
TN St Energy Acq Corp Gas Rev Gas Proj, Ser A
5.00%
11/01/33
1,837,074
1,500,000
TN St Energy Acq Corp Gas Rev Gas Proj, Ser A
5.00%
11/01/34
1,574,197
1,000,000
TN St Energy Acq Corp Gas Rev Ref, Ser A
5.00%
12/01/32
1,044,582
2,500,000
TN St Energy Acq Corp Gas Rev Var Ref Gas Proj, Ser A-1
(Mandatory put 05/01/28)
5.00%
05/01/53
2,558,729
140,000
TN St Energy Acq Corp Gas Rev, Ser A
5.25%
09/01/26
140,206
 
19,683,684
See Notes to Financial Statements
Page 15
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Texas — 9.6%
$550,000
Arlington TX Hgr Edu Fin Corp Edu Rev Ref Basis TX Chrt
Schs (a)
5.00%
06/15/30
$566,205
150,000
Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory
Inc
5.00%
08/15/27
153,341
150,000
Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory
Inc
5.00%
08/15/28
155,792
300,000
Celina TX Spl Assmnt Rev Ref The Lakes at Mustang Ranch Pub
Impt Dt Major Impt Area, AG
5.00%
09/01/27
306,154
315,000
Celina TX Spl Assmnt Rev Ref The Lakes at Mustang Ranch Pub
Impt Dt Major Impt Area, AG
5.00%
09/01/29
329,103
25,000
Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a)
2.50%
09/01/26
24,957
104,000
Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt
Area #1 Proj (a)
3.38%
09/15/26
103,970
500,000
Dallas Fort Worth TX Intl Arpt Rev Ref, Ser B
5.00%
11/01/27
513,746
4,000,000
Dallas Fort Worth TX Intl Arpt Rev, Ser A-1, AMT
5.00%
11/01/31
4,300,705
700,000
Denton Cnty TX Spl Assmnt Rev Green Meadows Pub Impt Dt
Impt Area #1 Proj (a)
4.25%
12/31/30
692,735
280,000
Fort Bend Cnty TX Muni Util Dist #184, BAM
6.00%
04/01/27
285,352
295,000
Fort Bend Cnty TX Muni Util Dist #184, BAM
6.00%
04/01/28
300,600
840,000
Fort Bend TX Indep Sch Dist Ref
5.00%
08/15/26
840,612
670,000
Fort Worth TX Spl Assmnt Rev Walsh Ranch/Quail Vly Impt Area
#1-3 Proj, BAM
5.00%
09/01/29
700,796
560,000
Galveston Cnty TX Muni Util Dist #54 Ref
2.00%
12/01/27
540,906
610,000
Galveston TX Wharves & Terminal Rev Wharves & Terminal First
Lien, AMT
5.25%
08/01/28
632,156
1,500,000
Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Var
Baylor Clg of Medicine, Ser A (Mandatory put 05/15/32)
5.00%
11/15/54
1,594,957
710,000
Harris Cnty TX Cultural Edu Facs Fin Corp Rev Ref Memorial
Hermann Hlth Sys, Ser A
5.00%
07/01/29
749,918
400,000
Harris Cnty TX Cultural Edu Facs Fin Corp Rev Ref Memorial
Hermann Hlth Sys, Ser B
5.00%
07/01/31
432,253
750,000
Houston TX Arpt Sys Rev Ref Sub, Ser C, AMT
5.00%
07/01/27
763,728
1,835,000
Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AG, AMT
5.00%
07/01/27
1,869,419
1,125,000
Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AG, AMT
5.00%
07/01/31
1,205,669
1,000,000
Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj,
Ser C, AMT
5.00%
07/15/27
1,012,621
900,000
Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt
Proj, Ser B-2, AMT
5.00%
07/15/27
911,359
200,000
Houston TX Arpt Sys Rev Sub, Ser A, AMT
5.00%
07/01/28
207,073
300,000
Houston TX Arpt Sys Rev Sub, Ser A, AMT
5.00%
07/01/29
315,069
1,800,000
Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj,
Ser B, AMT
5.25%
07/15/33
1,914,423
2,415,000
Houston TX Util Sys Rev Ref Subord First Lien, Ser B
4.00%
11/15/31
2,419,287
715,000
Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a)
4.13%
09/01/29
716,568
700,000
Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dt Impt Area #6 Proj
4.13%
09/01/31
697,672
2,000,000
Las Varas Pub Fac Corp TX Mf Hsg Rev Var Brickstone Flats
(Mandatory put 09/01/30) (d)
3.39%
03/01/45
1,998,864
700,000
Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT
5.00%
11/01/33
702,150
443,000
Lowry Crossing TX Spl Assmnt Rev Simpson Road Pub Impt Dist
Proj (a)
4.25%
09/15/30
445,771
See Notes to Financial Statements
Page 16
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Texas (Continued)
$2,000,000
Matagorda Cnty TX Nav Dist #1 Ref Central Pwr & Light Co Proj
Remk, AMT
4.25%
05/01/30
$2,050,367
2,250,000
Mesquite TX Hsg Fin Corp Var Palladium Carver Living
(Mandatory put 08/01/27)
3.35%
08/01/29
2,253,157
625,000
Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc
Proj Remk, Ser A, AMT (Mandatory put 11/02/26)
2.95%
05/01/50
625,021
1,000,000
Mission TX Econ Dev Corp Sol Wst Disp Rev Var Sustainable
Bond Graphic Packaging Intl LLC Proj, AMT (Mandatory put
06/01/30)
5.00%
12/01/64
1,032,446
1,125,000
Mission TX Econ Dev Corp Sol Wst Disp Rev Var Sustainable
Bonds Graphic Packaging Inter LLC Proj, AMT (Mandatory put
06/01/30)
5.00%
12/01/64
1,161,502
100,000
N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub
Impt Dt Phase #1A-1B Impts (a)
3.00%
09/15/26
99,871
550,000
N TX Hgr Edu Auth Inc Edu Loan Rev Sr, Ser 1A, AMT
5.00%
06/01/27
556,661
600,000
N TX Hgr Edu Auth Inc Edu Loan Rev Sr, Ser 1A, AMT
5.00%
06/01/30
620,044
640,000
New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref
Brazos Presbyterian Homes Inc Proj
5.00%
01/01/29
659,957
1,115,000
New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref
Brazos Presbyterian Homes Inc Proj
5.00%
01/01/32
1,163,548
2,000,000
New Hope Cultural Edu Facs Fin Corp TX Hosp Rev Var
Children’s Hlth Sys of TX, Ser B (b)
3.05%
08/01/55
2,000,000
1,800,000
New Hope Cultural Edu Facs Fin Corp TX Hosp Rev Var
Children’s Hlth Sys of TX, Ser C (b)
3.05%
08/01/55
1,800,000
200,000
Oak Point TX Spl Assmnt Rev Oak Point 720 Pub Impt Dt Impt
Area #1 Proj (a)
4.70%
09/15/31
201,668
975,000
Port Houston TX Auth Ref, Ser A, AMT
5.00%
10/01/34
1,003,446
250,000
Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area #3
Proj (a)
4.25%
09/01/31
252,354
300,000
Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area No
4 Proj (a)
4.25%
09/01/30
301,383
310,000
Rockwall Cnty TX Muni Util Dist #8, AG
6.75%
10/01/35
335,248
625,000
San Antonio TX Arpt Sys Rev Ref, AMT
5.00%
07/01/30
661,753
2,075,000
San Antonio TX Hsg Trust Pub Fac Corp Mf Hsg Rev Var
Palladium San Antonio (Mandatory put 07/01/27)
3.45%
07/01/29
2,082,433
1,340,000
Southmost TX Regl Wtr Auth Wtr Sply Contract Rev Ref
Desalination Plant Proj, BAM
4.00%
09/01/28
1,350,668
300,000
Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Christus
Hlth, Ser B
5.00%
07/01/30
320,318
950,000
Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Trinity
Terrace Proj
5.00%
10/01/30
1,000,834
995,000
Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Trinity
Terrace Proj
5.00%
10/01/31
1,055,850
1,840,000
Tarrant Cnty TX Hsg Fin Corp Var Nts Wildwood Branch
(Mandatory put 02/01/28)
3.60%
02/01/43
1,849,949
500,000
Trophy Club TX Pub Impt Dist #1 Spl Assmnt Rev Ref
5.00%
09/01/28
508,732
2,690,000
TX St Muni Gas Acq & Sply Corp IV, Ser A (Mandatory put
01/01/30)
5.50%
01/01/54
2,823,129
250,000
TX St Muni Gas Acq & Sply Corp VI Gas Sply Rev, Ser A (d)
5.00%
03/01/29
257,123
450,000
TX St Muni Gas Acq & Sply Corp VI Gas Sply Rev, Ser A (d)
5.00%
03/01/30
465,535
900,000
TX St Muni Pwr Agy Rev Ref, AG
3.00%
09/01/30
884,971
340,000
Westpointe Spl Impt Dist TX, BAM
5.00%
08/15/30
360,930
See Notes to Financial Statements
Page 17
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Texas (Continued)
$355,000
Westpointe Spl Impt Dist TX, BAM
5.00%
08/15/31
$380,154
375,000
Westpointe Spl Impt Dist TX, BAM
5.00%
08/15/32
403,924
760,000
Williamson Cnty TX Muni Util Dist #10 Ref, BAM
3.00%
08/01/26
760,000
 
59,686,907
Utah — 2.2%
795,000
Park City UT Sales Tax Rev
2.60%
06/15/30
768,380
1,300,000
Salt Lake City UT Arpt Rev, Ser A, AMT
5.00%
07/01/28
1,322,823
700,000
Salt Lake City UT Arpt Rev, Ser A, AMT
5.00%
07/01/28
725,417
1,000,000
Salt Lake City UT Arpt Rev, Ser A, AMT
5.00%
07/01/29
1,032,168
1,000,000
UT St Associated Muni Pwr Sys Rev Ref Horse Butte Wind, Ser A
5.00%
09/01/30
1,029,506
625,000
UT St Associated Muni Pwr Sys Rev Ref Horse Butte Wind, Ser A
5.00%
09/01/31
642,662
2,500,000
UT St Hsg Corp Mf Rev Var Hive on 11th (Mandatory put
02/01/30)
3.00%
08/01/44
2,451,844
2,000,000
UT St Hsg Corp Mf Rev Var Silos On 500 (Mandatory put
08/01/27)
3.70%
08/01/43
2,000,989
4,000,000
Utah Cnty UT Hosp Rev IHC Hlth Svcs Inc, Ser C (b)
3.10%
05/15/58
4,000,000
 
13,973,789
Vermont — 0.3%
100,000
VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Wst Sys Inc
Remk, AMT (Mandatory put 04/03/28) (a)
4.63%
04/01/36
100,980
1,000,000
VT St Econ Dev Auth Solid Wst Disp Rev Var Draw Down
Casella Wste Sys Inc Proj, Ser A-2, AMT (Mandatory put
06/01/32) (a)
4.38%
06/01/52
1,018,105
700,000
VT St Hsg Fin Agy Non Ace, Ser B
3.75%
11/01/32
699,909
 
1,818,994
Virginia — 1.9%
2,500,000
Fairfax Cnty VA Redev & Hsg Auth Mf Hsg Rev Var Dominion
Square N Proj (Mandatory put 01/01/28)
5.00%
01/01/45
2,541,494
600,000
Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref
Westminster Canterbury Proj
5.00%
10/01/30
609,526
1,000,000
Louisa VA Indl Dev Auth Poll Control Rev Var VA Elec & Pwr Co
Proj Remk, Ser A (Mandatory put 10/01/27)
3.65%
11/01/35
1,008,344
900,000
Lynchburg VA Econ Dev Auth Hosp Rev Ref Centra Hlth
Obligated Grp, Ser B
5.00%
01/01/31
960,827
2,000,000
Richmond VA Redev & Hsg Auth Mf Rev Var Walmsley Gardens
(Mandatory put 09/01/28)
3.45%
09/01/46
2,008,213
1,000,000
VA St Small Busn Fing Auth Rev Ref Sr Lien 95 Express
Lanes LLC Proj, AMT
5.00%
07/01/38
1,029,565
725,000
VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of
VA, Ser A
5.00%
12/01/30
770,933
1,040,000
VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of
VA, Ser A
5.00%
12/01/31
1,113,353
1,550,000
Virginia Beach VA Dev Auth Rsdl Care Fac Rev Temps 50SM
Westminster Canterbury on Chesapeake Bay, Ser B-3
5.38%
09/01/29
1,551,873
 
11,594,128
Washington — 0.9%
1,500,000
Port of Seattle WA Rev Intermediate Lien, Ser B, AMT
5.00%
10/01/31
1,609,474
1,000,000
Port of Seattle WA Rev Intermediate Lien, Ser D, AMT
5.00%
05/01/27
1,015,103
500,000
Port of Seattle WA Rev Ref 1st Lien, Ser B, AMT
5.00%
10/01/28
501,077
2,000,000
WA St Hlth Care Facs Auth Providence St Joseph Hlth, Ser B
5.00%
10/01/30
2,128,904
See Notes to Financial Statements
Page 18
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Washington (Continued)
$100,000
WA St Hlth Care Facs Auth Ref Seattle Cancer Care Alliance
5.00%
09/01/27
$102,212
125,000
WA St Hsg Fin Commn Mf Hsg Rev Var Creekside Vlg on Vashon
Apartments Proj (Mandatory put 10/01/27)
2.70%
04/01/44
123,948
350,000
WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights
Proj, Ser A
5.00%
07/01/27
356,342
 
5,837,060
West Virginia — 0.9%
1,000,000
WV St Econ Dev Auth Sol Wst Disp Facs Var Amos Proj
Remk, Ser A, AMT (Mandatory put 09/01/28)
3.30%
01/01/41
999,032
2,000,000
WV St Econ Dev Auth Sol Wst Disp Facs Var Appalachian Pwr
Comp Amos Proj Remk, Ser B (Mandatory put 06/01/28)
3.70%
12/01/42
2,016,239
1,000,000
WV St Econ Dev Auth Sol Wst Disp Facs Var Ref Appalachian
Pwr Co Remk, Ser 2015A (Mandatory put 06/15/28)
3.38%
03/01/40
1,001,246
1,500,000
WV St Econ Dev Auth Sol Wst Disp Facs Var Ref Kentucky Pwr
Co Mitchell Proj Remk, Ser A, AMT (Mandatory put 06/13/30)
3.75%
04/01/36
1,489,401
 
5,505,918
Wisconsin — 1.9%
1,750,000
Pub Fin Auth WI Edu Rev Pinecrest Acdmy NV Pinecrest Acdmy
Springs Cmps, Ser A (a)
4.00%
07/15/33
1,719,640
335,000
Pub Fin Auth WI Eductnl Fac Rev Ref Lindenwood Edu Sys
5.00%
06/01/28
341,982
430,000
Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch
5.00%
06/15/34
436,763
125,000
Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (a)
3.00%
12/01/26
124,034
4,280,000
Pub Fin Auth WI Poll Control Rev Var Ref Duke Energy Progress
Proj, Ser A-1 (Mandatory put 10/01/26)
3.30%
10/01/46
4,278,420
325,000
Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt
Homes, Ser A
4.00%
10/01/29
331,715
390,000
Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt
Homes, Ser A
4.00%
10/01/31
399,364
390,000
Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt
Homes, Ser A
4.00%
10/01/32
397,824
1,655,000
Pub Fin Auth WI Sol Wst Disp Rev Ref Wst Mgmt Inc Proj,
Ser A-2, AMT
2.88%
05/01/27
1,648,038
400,000
Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate
Fdtn LLC Proj, Ser A
5.00%
06/15/30
424,907
270,000
WI St Hlth & Eductnl Facs Auth Rev Ref Benevolent Corp Cedar
Cmnty
5.00%
06/01/30
281,157
280,000
WI St Hlth & Eductnl Facs Auth Rev Ref Benevolent Corp Cedar
Cmnty
5.00%
06/01/31
293,175
1,150,000
WI St Hsg & Econ Dev Auth Home Ownership Rev Sustainable
Bond, Ser D
3.10%
03/01/31
1,144,974
 
11,821,993
Wyoming — 0.1%
755,000
Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref
Electrical Sys Proj
5.25%
06/01/37
815,251
Total Investments — 99.2%
616,493,281
(Cost $616,650,034)
Net Other Assets and Liabilities — 0.8%
5,111,690
Net Assets — 100.0%
$621,604,971
 
See Notes to Financial Statements
Page 19
First Trust Short Duration Managed Municipal ETF (FSMB)
Portfolio of Investments (Continued)
July 31, 2026
(a)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined
to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall
market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require
subjective judgment. At July 31, 2026, securities noted as such amounted to $30,969,157 or 5.0% of net assets.
(b)
Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.
(c)
Zero coupon security.
(d)
When-issued security. The interest rate shown reflects the rate in effect at July 31, 2026. Interest will begin accruing on the
security’s first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial
Statements).
 
Abbreviations throughout the Portfolio of Investments:
AG
–  Assured Guaranty, Inc.
AMT
–  Alternative Minimum Tax
BAM
–  Build America Mutual
CABS
–  Capital Appreciation Bonds
COPS
–  Certificates of Participation
NATL-RE
–  National Public Finance Guarantee Corp.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Municipal Bonds*
$616,493,281
$—
$616,493,281
$—
 
*
See Portfolio of Investments for state and territory breakout.
See Notes to Financial Statements
Page 20
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments
July 31, 2026
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS — 99.8%
Alabama — 5.0%
$550,000
Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1
(Mandatory put 10/01/26)
4.00%
10/01/49
$552,387
1,765,000
Black Belt Energy Gas Dist AL Gas Proj Rev Bonds Proj No 7,
Ser C-1 (Mandatory put 12/01/26)
4.00%
10/01/52
1,778,586
1,065,000
Black Belt Energy Gas Dist AL Gas Proj Rev Proj No 6, Ser B
(Mandatory put 12/01/26)
4.00%
10/01/52
1,074,388
500,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser A
5.00%
12/01/27
509,053
850,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser D
5.00%
08/01/26
850,000
1,000,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser D
5.00%
08/01/27
1,015,069
350,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser E
5.00%
07/01/27
354,984
700,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F
5.00%
06/01/27
707,905
800,000
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F
5.00%
12/01/27
815,842
500,000
SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1
5.00%
08/01/26
500,000
500,000
SE Energy Auth AL Cooperative, Ser B
5.00%
01/01/27
501,462
330,000
SE Energy Auth AL Cooperative, Ser C
5.00%
08/01/26
330,000
555,000
SE Energy Auth AL Cooperative, Ser C
5.00%
02/01/27
560,201
685,000
SE Energy Auth AL Cooperative, Ser E
5.00%
10/01/27
699,849
2,000,000
Walker Cnty AL Econ & Indl Dev Auth Sol Wst Disp Rev Var AL
Pwr Co Plant Gorgas Proj, AMT (a)
3.15%
08/01/63
2,000,000
 
12,249,726
Arizona — 0.8%
1,005,000
Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj
Remk, AMT (Mandatory put 06/15/28)
4.10%
12/01/37
1,016,283
1,000,000
Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj,
Ser 2022-2, AMT (Mandatory put 09/01/27)
5.00%
09/01/52
1,009,620
 
2,025,903
California — 4.1%
1,000,000
CA St Infra & Econ Dev Bank Rev Var Brightline W Passanger
Rail Proj, Ser C, AMT (Mandatory put 11/02/26) (b)
3.50%
01/01/65
999,761
750,000
CA St Muni Fin Auth Sol Wst Disp Rev Var Draw Down Wst
Mgmt Proj Remk, Ser B, AMT (Mandatory put 06/01/27)
2.88%
11/01/41
749,727
1,500,000
CA St Muni Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj
Remk, Ser A, AMT (Mandatory put 10/01/26)
2.95%
07/01/41
1,498,687
800,000
CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj
Remk, Ser A, AMT (Mandatory put 09/15/26)
2.88%
03/01/56
799,689
750,000
CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs
Inc Proj Remk, AMT (Mandatory put 08/17/26) (b)
2.88%
07/01/43
749,900
1,790,000
Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl
Arpt P3 Proj, Ser C, AMT
5.00%
05/15/27
1,821,242
1,365,000
Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl
Arpt, Ser A, AMT
5.00%
05/15/28
1,413,829
2,000,000
Los Angeles CA Trans
5.00%
06/24/27
2,042,452
 
10,075,287
Colorado — 3.4%
1,000,000
Adams & Arapahoe Cntys CO Jt Sch Dist #28J Aurora
5.50%
12/01/26
1,009,572
800,000
CO St Hlth Facs Auth Rev Ref Childrens Hosp CO Proj, Ser A
5.00%
12/01/27
821,617
245,000
CO St Hlth Facs Auth Rev Ref Christian Living Cmntys Obligated
Grp
5.00%
01/01/27
246,989
465,000
CO St Hlth Facs Auth Rev Ref Christian Living Cmntys Obligated
Grp
5.00%
01/01/28
477,409
See Notes to Financial Statements
Page 21
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Colorado (Continued)
$250,000
CO St Hlth Facs Auth Rev Ref Covenant Living Cmntys and Svcs
5.00%
12/01/26
$251,370
255,000
CO St Hlth Facs Auth Rev Ref, Ser A
5.00%
05/15/27
257,922
1,460,000
Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT
5.00%
12/01/26
1,470,407
500,000
Denver City & Cnty CO Sch Dist #1, Ser A
5.00%
12/01/26
503,514
1,600,000
Maiker Hsg Partners CO Mf Hsg Rev Var Overlook at Thorton
Remk (Mandatory put 11/01/26)
2.75%
05/01/42
1,599,848
660,000
Park Creek Met Dist CO Ltd Property Tax Supported Rev Sr Ref,
AG
5.00%
12/01/26
664,988
1,000,000
Park Creek Met Dist CO Ltd Property Tax Supported Rev Sr Ref,
AG
5.00%
12/01/27
1,030,458
 
8,334,094
Delaware — 0.2%
400,000
DE St Hlth Facs Auth Rev Christiana Care Hlth Sys Obligated Grp
5.00%
10/01/26
401,432
District of Columbia — 2.2%
1,145,000
Dist of Columbia Hsg Fin Agy Mf Hsg Rev Var Parcel
42 Apartments Proj Remk (Mandatory put 09/01/26)
2.88%
09/01/41
1,144,753
1,500,000
Dist of Columbia Hsg Fin Agy Mf Hsg Rev Var Paxton Proj Remk
(Mandatory put 12/01/26)
3.20%
09/01/40
1,499,830
1,500,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/26
1,505,077
1,200,000
Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT
5.00%
10/01/26
1,204,061
 
5,353,721
Florida — 9.4%
1,500,000
Brevard Cnty FL Hsg Fin Auth Mf Hsg Var Emerald Place
Apartments (Mandatory put 02/01/27)
3.30%
02/01/28
1,500,251
1,625,000
Broward Cnty FL Arpt Sys Rev, AMT
5.00%
10/01/28
1,658,883
525,000
Broward Cnty FL Port Facs Rev, AMT
5.00%
09/01/27
534,929
250,000
FL Dev Fin Corp Hlthcare Facs Rev Tampa General Hosp Proj,
Ser A
5.00%
08/01/27
255,319
1,000,000
FL St Mid Bay Bridge Auth Ref First Sr Lien, AG
5.00%
10/01/26
1,003,123
645,000
FL St Muni Pwr Agy Ref All Requirements Pwr Sply Proj, Ser A
5.00%
10/01/26
647,151
1,000,000
Gtr Orlando FL Aviation Auth Arpt Facs Rev, Ser A, AMT (Pre-
refunded maturity 10/01/26)
5.00%
10/01/41
1,003,499
695,000
Heritage Harbour FL N CDD Capital Impt Rev Ref Sr Lien,
Ser A-1, AG
5.00%
05/01/27
704,621
1,500,000
Hillsborough Cnty FL Sch Dist, TANS (c)
4.00%
03/31/27
1,511,118
500,000
Lakeland FL Capital Impt Rev Ref, Ser A
5.00%
10/01/26
501,799
730,000
Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT
5.00%
10/01/27
746,160
2,225,000
Miami-Dade Cnty FL Indl Dev Auth Sol Wst Disp Rev Var Wst
Mgmt Inc Proj Remk, Ser B, AMT (Mandatory put 07/01/27)
3.25%
11/01/48
2,222,146
1,250,000
Miami-Dade Cnty FL Sch Brd Ref, Ser A, COPS
5.00%
02/01/27
1,264,116
2,000,000
Miami-Dade Cnty FL Wtr & Swr Rev Ref, Ser B
5.00%
10/01/26
2,007,456
1,000,000
Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Obligated
Grp, Ser A
5.00%
10/01/27
1,022,599
1,000,000
Palm Beach Cnty FL Hsg Fin Auth Mf Hsg Rev Everglade
Townhomes Remk
2.80%
02/01/27
997,586
750,000
Palm Beach Cnty FL Sch Brd Ref, Ser A, COPS
5.00%
08/01/26
750,000
865,000
Pasco Cnty FL Capital Impt Cigarette Tax Allocation H Lee Moffitt
Cancer Ctr Proj, Ser A, AG
5.25%
09/01/26
866,591
1,000,000
Pasco Cnty FL Sch Brd Ref, Ser A, COPS
5.00%
08/01/27
1,021,571
See Notes to Financial Statements
Page 22
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Florida (Continued)
$1,500,000
Polk Cnty FL Hsg Fin Auth Mf Hsg Rev Var Lakewood Terrace
Apartments (Mandatory put 07/01/28)
2.90%
07/01/43
$1,488,280
750,000
Polk Cnty FL Pub Facs Rev Ref
5.00%
12/01/26
755,792
500,000
Seminole Cnty FL Sch Dist Sales Tax Rev, AG
5.00%
10/01/26
501,774
130,000
Triple Creek FL CDD Spl Assmnt Vlgs N&P Proj
2.50%
11/01/26
129,461
 
23,094,225
Georgia — 1.6%
400,000
Atlanta GA Arpt Rev, Ser C, AMT
5.00%
07/01/27
407,539
1,750,000
Atlanta GA Wtr & Wstwtr Rev Ref Sub Lien Sustainable Bonds
5.00%
11/01/27
1,801,154
135,000
Main Street Nat Gas Inc GA Gas Rev, Ser A
5.50%
09/15/26
135,354
1,500,000
Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put
09/01/26)
4.00%
03/01/50
1,501,428
 
3,845,475
Illinois — 5.6%
1,075,000
Chicago IL O’Hare Intl Arpt Rev Ref, Ser C, AMT
5.00%
01/01/27
1,084,082
1,400,000
Cook Cnty IL High Sch Dist #207 Maine Twp, Ser A
5.00%
12/01/26
1,409,656
800,000
Cook Cnty IL Sales Tax Rev Ref
5.00%
11/15/27
822,246
1,175,000
DuPage Cnty IL Forest Preserve Dist
5.00%
11/01/26
1,180,865
1,500,000
IL St Fin Auth Rev Prerefunded Ref Ascension Hlth Credit Grp,
Ser C (Pre-refunded maturity 02/15/27)
4.00%
02/15/36
1,510,205
1,500,000
IL St Sales Tax Rev, Subser A
5.00%
06/15/27
1,528,702
1,000,000
IL St, Ser A
5.00%
12/01/26
1,006,716
1,500,000
IL St, Ser B
5.00%
12/01/26
1,510,074
1,500,000
IL St, Ser B
5.25%
09/01/27
1,537,063
1,040,000
Lake Cnty IL Twp High Sch Dist #113 Highland Park
5.00%
01/01/27
1,049,771
1,115,000
Lemont IL Fire Prot Dist
5.00%
12/30/26
1,124,993
 
13,764,373
Indiana — 3.3%
495,000
Carmel IN Loc Pub Impt Bond Bank Ref Ad Valorem Property Tax
Supported Projs
5.00%
01/15/27
500,144
375,000
Carmel IN Loc Pub Impt Bond Bank Ref Ad Valorem Property Tax
Supported Projs
5.00%
07/15/27
383,223
450,000
Carmel IN Loc Pub Impt Bond Bank Ref Ad Valorem Property Tax
Supported Projs
5.00%
01/15/28
464,861
1,575,000
Fort Wayne IN Cmnty Schs
5.00%
01/15/27
1,589,880
350,000
IN Fin Auth Eductnl Facs Rev Taylor Univ Proj
5.00%
09/01/26
350,596
1,285,000
IN St Fin Auth Econ Dev Rev Var Ref Rep Svcs Inc Proj Remk,
Ser A, AMT (Mandatory put 09/01/26)
2.90%
05/01/28
1,284,704
500,000
IN St Fin Auth Rev Ref Ascension Sr Credit Grp, Ser A-1
5.00%
11/15/27
513,074
1,000,000
IN St Muni Pwr Agy Ref, Ser A, AG
5.00%
01/01/27
1,008,531
625,000
N W Allen Cnty IN Schs
5.00%
01/15/27
630,820
1,500,000
Perry Twp IN Schs Marion Cnty
5.00%
01/15/27
1,515,454
 
8,241,287
Iowa — 0.9%
1,735,000
Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26)
5.00%
09/01/49
1,737,570
200,000
Pefa Inc IA Gas Proj Rev Ref Gas Proj, Ser A
5.00%
04/01/27
201,934
200,000
Pefa Inc IA Gas Proj Rev Ref Gas Proj, Ser A
5.00%
04/01/28
204,630
 
2,144,134
See Notes to Financial Statements
Page 23
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Kansas — 0.6%
$1,500,000
Olathe KS Temp Nts, Ser A
5.00%
09/01/26
$1,502,579
Kentucky — 2.0%
1,500,000
Fayette Cnty KY Brd of Edu Trans
4.00%
06/15/27
1,512,217
375,000
KY St Property & Bldgs Commn Revs Proj #133, Ser A
5.00%
09/01/26
375,654
275,000
KY St Property & Bldgs Commn Revs Ref Proj #133, Ser B
5.00%
09/01/26
275,479
615,000
KY St Pub Energy Auth Gas Sply Rev Ref, Ser B
5.00%
08/01/26
615,000
400,000
Paducah KY Elec Plant Brd Rev Ref
5.00%
10/01/27
409,316
1,750,000
Trimble Cnty KY Envrnmntl Facs Rev Var Louisville Gas & Elec
Co Proj, Ser A, AMT (Mandatory put 06/01/27)
4.70%
06/01/54
1,762,258
 
4,949,924
Louisiana — 0.4%
1,110,000
Regl Transit Auth LA Sales Tax Rev Ref, Ser A, AG
5.00%
01/01/27
1,120,292
Maryland — 1.7%
600,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Medstar Hlth
Issue, Ser A
5.00%
08/15/26
600,437
535,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Medstar Hlth
Issue, Ser A
5.00%
08/15/27
547,358
1,000,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Medstar Hlth
Issue, Ser C
5.00%
08/15/27
1,023,100
1,780,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Meritus Hlth Issue
5.00%
07/01/27
1,815,811
300,000
MD St Hlth & Hgr Eductnl Facs Auth Rev Ref The Johns Hopkins
Hlth Sys Issue, Ser A
5.00%
05/15/27
305,541
 
4,292,247
Massachusetts — 3.4%
1,500,000
Fall River MA, BANS
4.00%
01/29/27
1,507,492
1,000,000
MA St Dev Fin Agy Rev Ref Beth Israel Lahey Hlth Issue, Ser N,
AG
5.00%
07/01/27
1,021,483
450,000
MA St Dev Fin Agy Rev Ref Emerson Clg Issue
5.00%
01/01/27
452,509
2,000,000
MA St Port Auth Ref, Ser A, AMT
5.00%
07/01/27
2,036,063
1,750,000
Quincy MA, BANS
5.00%
08/13/27
1,785,978
1,500,000
Revere MA, BANS
4.00%
07/29/27
1,517,139
 
8,320,664
Michigan — 3.8%
750,000
Grand Rapids MI Wtr Sply Sys Rev Ref
5.00%
01/01/27
757,016
1,250,000
MI St Fin Auth Rev Nts, Ser A-2
5.00%
08/20/26
1,251,220
1,250,000
MI St Fin Auth Rev Nts, Ser A-2 (c)
5.00%
08/20/27
1,276,718
1,000,000
MI St Fin Auth Rev Ref Pub Lighting Auth Ref Loc Proj, Ser A,
BAM
5.00%
07/01/27
1,019,664
1,115,000
MI St Hosp Fin Auth Ref Bronson Hlthcare Grp Inc, Ser A
5.00%
05/15/27
1,134,025
680,000
MI St Hosp Fin Auth Ref Bronson Hlthcare Grp Inc, Ser B
5.00%
05/15/27
691,602
1,000,000
MI St Hsg Dev Auth Mf Hsg Rev Var Countryside Townhouses
(Mandatory put 05/01/27)
2.92%
05/01/29
996,988
1,500,000
MI St Hsg Dev Auth Sf Mtge Rev, Ser A
2.80%
12/01/27
1,497,493
655,000
Stockbridge MI Cmnty Schs Ref, Ser I
5.00%
05/01/27
666,255
 
9,290,981
Minnesota — 1.3%
1,250,000
MN Muni Gas Agy Cmdy Sply Rev, Ser A (Mandatory put
12/01/27)
4.00%
12/01/52
1,263,737
See Notes to Financial Statements
Page 24
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Minnesota (Continued)
$385,000
MN St Agric & Econ Dev Brd Hlth Care Sys Rev Ref Fairview
Hlth Svcs, Ser A
5.00%
11/15/27
$394,282
500,000
MN St Hsg Fin Agy, Ser C
4.00%
02/01/27
500,304
1,000,000
Saint Cloud MN Hlth Care Rev Ref Centracare Hlth Sys
5.00%
05/01/27
1,015,548
 
3,173,871
Mississippi — 0.8%
2,000,000
MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA
Inc, Ser L (a)
3.05%
11/01/35
2,000,000
Missouri — 1.8%
500,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Children’s
Mercy Hosp, Ser A
5.00%
05/15/27
509,001
500,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Children’s
Mercy Hosp, Ser A
5.00%
05/15/28
519,391
855,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Coxhealth
Obligated Grp, Ser B
5.00%
11/15/26
859,814
1,000,000
MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Coxhealth
Obligated Grp, Ser B
5.00%
11/15/27
1,025,255
1,600,000
MO St Pub Utils Commn Rev Ref Interim Constr Nts
4.00%
10/01/27
1,608,776
 
4,522,237
Nebraska — 0.8%
1,000,000
McCook NE, BANS
4.50%
09/01/27
1,001,336
1,000,000
Omaha NE Pub Facs Corp Lease Rev Ref, Ser B
5.00%
04/15/27
1,016,931
 
2,018,267
Nevada — 0.6%
1,400,000
NV St Hsg Div Var Townhomes at Fremont (Mandatory put
07/01/27)
3.00%
07/01/56
1,399,912
New Jersey — 4.2%
1,500,000
Essex Cnty NJ, BANS
4.00%
07/07/27
1,516,639
1,000,000
Jersey City NJ Muni Utils Auth Wtr Proj Nts Ser A
4.00%
04/30/27
1,008,654
1,500,000
Jersey City NJ Redev Agy Nts Bayfront Redev Proj, Ser A
5.00%
12/09/26
1,511,235
1,205,000
Newark NJ Ref, Ser A
5.00%
07/15/27
1,229,369
2,000,000
NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser GGG (b)
5.25%
09/01/26
2,003,520
1,500,000
Union Cnty NJ, BANS
4.00%
06/11/27
1,515,011
1,500,000
Voorhees Twp NJ, Ser A, BANS
4.00%
09/17/26
1,502,006
 
10,286,434
New Mexico — 0.7%
625,000
Farmington NM Poll Control Rev Var Ref Pub Svc Co NM San
Juan Proj Remk, Ser D (Mandatory put 06/01/28)
3.90%
06/01/40
630,738
1,000,000
NM Fin Auth Rev Subord Pub Proj, Ser C
5.00%
12/15/26
1,008,545
 
1,639,283
New York — 4.2%
1,008,317
Amherst NY Centrl Sch Dist, BANS
4.00%
08/05/26
1,008,373
1,030,000
Met Transprtn Auth NY Rev Ref Climate Bond Certified
Sustainable, Ser B
5.00%
11/15/26
1,036,742
1,000,000
New York City NY Hsg Dev Corp Mf Hsg Rev Var, Ser I
(Mandatory put 12/01/26)
2.70%
05/01/56
998,674
500,000
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var
Ref Sub 2nd General Resolution Fiscal 2026, Ser FF-2 (a)
3.10%
06/15/41
500,000
See Notes to Financial Statements
Page 25
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
New York (Continued)
$710,000
NY St Convention Ctr Dev Corp Rev Ref Sr Lien Hotel Unit Fee
Secured, Ser A, AG
5.00%
11/15/27
$731,015
1,250,000
NY St Dorm Auth Revs Non St Supported Debt Sch Districts Rev
Bond Fing Prog, Ser A
5.00%
10/01/26
1,254,967
1,500,000
Oakfield-Alabama NY Centrl Sch Dist, BANS
4.00%
06/22/27
1,513,148
375,000
Port Auth of NY & NJ NY Ref, Ser 242, AMT
5.00%
12/01/26
377,562
1,500,000
Selkirk Fire Dist NY, BANS
4.25%
08/28/26
1,501,441
1,500,000
Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax,
Ser B-1, BANS
5.00%
03/15/27
1,521,183
 
10,443,105
North Carolina — 3.4%
1,000,000
Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var
Atrium Hlth Remk, Ser B (Mandatory put 06/15/27)
3.25%
01/15/50
1,002,896
2,500,000
Cumberland Cnty NC Indl Facs & Poll Control Fing Auth Sol WS
Var Proj Aero Remk, AMT (Mandatory put 12/01/26)
3.13%
12/01/27
2,498,343
2,000,000
Inlivian NC Mf Rev Var Trella Uptown Proj Remk (Mandatory put
06/01/27)
3.20%
06/01/43
1,999,781
1,500,000
NC St Grant Anticipation Rev Ref, GARVEE
5.00%
03/01/27
1,519,597
1,000,000
NC St Muni Pwr Agy #1 Catawba Elec Rev Ref
5.00%
01/01/28
1,030,761
400,000
Sampson Cnty NC Ltd Oblig Ref
5.00%
12/01/27
411,019
 
8,462,397
Ohio — 5.2%
1,810,000
Allen Cnty OH Hosp Facs Rev Ref, Ser A
5.00%
08/01/26
1,810,000
385,000
Franklin Cnty OH Hosp Facs Rev Nationwide Childrens Hosp
Ref, Ser A
5.00%
11/01/26
387,036
300,000
Franklin Cnty OH Hosp Facs Rev Nationwide Childrens Hosp
Ref, Ser A
5.00%
11/01/27
308,099
365,000
Hamilton Cnty OH Hlth Care Facs Rev Ref The Christ Hosp
5.00%
06/01/27
370,979
330,000
Hamilton Cnty OH Hlth Care Facs Rev Ref The Christ Hosp
5.00%
06/01/28
341,546
280,000
Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj
5.00%
01/01/27
281,653
300,000
Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj
5.00%
01/01/28
305,920
1,500,000
Hamilton Cnty OH Sales Tax Paycor Stadium Impt Proj Subord,
BANS
5.00%
12/01/26
1,510,068
2,000,000
Huber Heights OH, BANS
5.00%
11/19/26
2,012,033
1,440,000
Lakewood OH Nts
4.00%
04/07/27
1,445,065
600,000
Milford OH Exempt Vlg Sch Dist Ref
5.00%
12/01/26
604,198
340,000
Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj
5.00%
09/01/26
340,466
2,000,000
OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj,
Ser A, AMT (Mandatory put 06/01/27)
4.25%
11/01/39
2,013,405
1,000,000
Richmond Heights OH, BANS
4.75%
02/26/27
1,009,463
 
12,739,931
Oklahoma — 0.4%
750,000
Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Owasso Pub Sch
Proj
5.00%
09/01/26
751,129
250,000
Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Owasso Pub Sch
Proj
5.00%
09/01/27
255,315
 
1,006,444
Oregon — 0.4%
1,000,000
Medford OR Hosp Facs Auth Rev Ref Asante Proj, Ser A
5.00%
08/15/27
1,021,865
See Notes to Financial Statements
Page 26
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Pennsylvania — 3.8%
$885,000
PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Draw
Down Rep Svcs Inc Remk, Ser B-2, AMT (Mandatory put
01/15/27)
3.05%
04/01/49
$884,525
750,000
PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Ref Rep
Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 10/15/26)
2.95%
04/01/34
750,025
1,000,000
PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Wst Mgmt
Inc Proj Remk, AMT (Mandatory put 11/02/26)
2.95%
08/01/45
1,000,034
1,115,000
PA St Econ Dev Fing Auth UPMC Rev Ref UPMC Obligated
Grp, Ser A
5.00%
12/15/27
1,145,525
400,000
PA St Econ Dev Fing Auth UPMC Rev Ref UPMC Obligated
Grp, Ser B
5.00%
03/15/27
405,009
1,045,000
Philadelphia PA Arpt Rev Ref, Ser B, AMT
5.00%
07/01/27
1,064,127
1,000,000
Philadelphia PA Sch Dist Ref, Ser C
5.00%
03/01/27
1,011,739
1,050,000
St Pub Sch Bldg Auth PA Clg Rev Ref Cmnty Clg of Philadelphia
Proj
5.00%
06/15/27
1,069,095
2,000,000
Tender Option Bond Trust Recpts / Ctfs Various States JPM Putters
Xm1120, AG (a) (b)
3.17%
10/01/26
2,000,000
 
9,330,079
South Carolina — 0.9%
400,000
Rock Hill SC Util Sys Rev Ref
5.00%
01/01/27
403,560
375,000
Rock Hill SC Util Sys Rev Ref
5.00%
01/01/28
386,325
1,500,000
Spartanburg Cnty SC Sch Dist #5, BANS
5.00%
06/15/27
1,527,861
 
2,317,746
South Dakota — 0.6%
1,045,000
SD St Hlth & Eductnl Facs Auth Ref Vocational Edu Prog
5.00%
08/01/26
1,045,000
475,000
SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty
Issue, Ser A
5.00%
09/01/26
475,624
 
1,520,624
Tennessee — 3.1%
1,570,000
Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref
Commonspirit Hlth, Ser A-1
5.00%
08/01/26
1,570,000
1,500,000
Memphis TN Hlth Eductnl & Hsg Fac Brd Mf Hsg Rev Borda
Towers & Venson Ctr Proj Remk
2.90%
07/01/27
1,496,799
1,500,000
Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd
Var Parkwood Villa Apts (Mandatory put 12/01/27)
3.15%
12/01/42
1,501,083
1,625,000
Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd
Var Skyline Heights (Mandatory put 07/01/27)
2.85%
06/01/56
1,621,313
1,435,000
Met Nashville TN Arpt Auth Arpt Rev Subord, Ser B, AMT
5.00%
07/01/28
1,483,049
 
7,672,244
Texas — 11.1%
255,000
Austin TX Arpt Sys Rev Ref, AMT
5.00%
11/15/26
256,305
380,000
Austin TX Arpt Sys Rev Ref, AMT
5.00%
11/15/27
388,824
2,000,000
Dallas Fort Worth TX Intl Arpt Rev, Ser A-1, AMT
5.00%
11/01/27
2,049,536
1,000,000
Denton Cnty TX Ref
5.00%
07/15/27
1,022,118
895,000
Eagle Mountain & Saginaw TX Indep Sch Dist Ref, Ser A
5.00%
08/15/26
895,704
550,000
El Paso TX Indep Sch Dist Ref, Ser B
5.00%
08/15/26
550,404
1,000,000
Harris Cnty Houston TX Sports Auth Rev Ref Sr Lien, Ser A, AG
5.00%
11/15/26
1,005,945
1,000,000
Harris Cnty TX Cultural Edu Facs Fin Corp Rev Var Ref Memorial
Hermann Hlth Sys, Ser C-3 (Mandatory put 12/01/26)
5.00%
06/01/32
1,011,877
See Notes to Financial Statements
Page 27
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Texas (Continued)
$1,000,000
Harris Cnty TX Cultural Edu Facs Fin Corp Thermal Util Rev Ref
Teco Proj
5.00%
11/15/28
$1,025,294
1,000,000
Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj,
Ser C, AMT
5.00%
07/15/27
1,012,621
1,250,000
Jefferson Cnty TX Hsg Fin Corp Mf Hsg Rev Var Timbers Edge
Apartments Proj (Mandatory put 06/01/28)
3.00%
05/01/31
1,247,197
700,000
Kyle TX, AG
5.00%
08/15/26
700,527
1,000,000
Legacy Denton Pub Fac Corp Mf Hsg Rev Var Vintage Ranch
Remk (Mandatory put 04/01/27)
2.96%
04/01/43
998,386
685,000
Lower Colorado River TX Auth Rev Ref, Ser A
5.00%
05/15/27
697,170
500,000
Lower Colorado River TX Auth Trans Contract Rev Ref LCRA
Trans Svcs Corp Proj, Ser A
5.00%
05/15/27
508,883
625,000
Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc
Proj Remk, Ser A, AMT (Mandatory put 11/02/26)
2.95%
05/01/50
625,021
2,000,000
Mission TX Econ Dev Corp Sol Wst Disp Rev Var Wst Mgmt Inc
Remk, Ser A, AMT (Mandatory put 09/01/26)
2.85%
06/01/55
1,999,998
2,000,000
N TX Tollway Auth Rev Ref Second Tier Bond Subord, Ser B
5.00%
01/01/27
2,017,884
700,000
N TX Tollway Auth Rev Ref Second Tier, Ser B
5.00%
01/01/27
706,260
600,000
New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref
Brazos Presbyterian Homes Inc Proj
5.00%
01/01/27
603,493
500,000
New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref
Brazos Presbyterian Homes Inc Proj
5.00%
01/01/28
509,867
675,000
San Antonio TX Arpt Sys Rev Ref, AMT
5.00%
07/01/27
686,032
750,000
San Antonio TX Arpt Sys Rev Ref, AMT
5.00%
07/01/28
775,126
460,000
San Antonio TX Elec & Gas Rev Ref, Ser B
5.00%
02/01/27
465,263
1,745,000
Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Methodist
Hosps of Dallas
5.00%
10/01/27
1,788,262
1,000,000
TX St Affordable Hsg Corp Mf Hsg Rev La Vista De Lopez
Apartment Remk
2.80%
02/01/27
998,623
1,000,000
TX St Dept of Hsg & Cmnty Affairs Mf Hsg Rev Var Gulfway
Manor (Mandatory put 08/01/26)
3.25%
08/01/28
1,000,000
415,000
TX St Muni Gas Acq & Sply Corp V Gas Sply Rev
5.00%
04/01/27
419,123
425,000
TX St Muni Gas Acq & Sply Corp VI Gas Sply Rev, Ser A (c)
5.00%
03/01/28
433,323
500,000
Upper Trinity TX Regl Wtr Dist Wtr Rev Ref, BAM
5.00%
08/01/26
500,000
530,000
Upper Trinity TX Regl Wtr Dist Wtr Rev Ref, BAM
5.00%
08/01/27
541,643
 
27,440,709
Utah — 0.1%
300,000
Downtown Revitalization Pub Infra Dist UT Sales First Lien Seg
Redev Proj, Ser A, AG
5.00%
06/01/27
305,360
Virginia — 1.8%
1,000,000
Arlington Cnty VA Indl Dev Auth Mf Rev Var Barcroft Charlie 2
and Barcroft Bravo 5 (Mandatory put 02/01/27)
3.10%
12/01/55
998,845
575,000
Brunswick Cnty VA Indl Dev Auth Mf Hsg Rev Var Pinecrest
Apartments (Mandatory put 12/01/27)
3.15%
12/01/28
575,369
300,000
Lynchburg VA Econ Dev Auth Hosp Rev Ref Centra Hlth
Obligated Grp, Ser B
5.00%
01/01/27
302,386
300,000
Lynchburg VA Econ Dev Auth Hosp Rev Ref Centra Hlth
Obligated Grp, Ser B
5.00%
01/01/28
308,052
See Notes to Financial Statements
Page 28
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
MUNICIPAL BONDS (Continued)
Virginia (Continued)
$1,750,000
Richmond VA Redev & Hsg Auth Mf Rev Var Joyfield at German
Sch Road (Mandatory put 06/01/28)
3.05%
12/01/55
$1,747,613
500,000
VA St Small Busin Fing Auth Rsdl Fac Care Rev Ref Lifespire of
VA, Ser A
5.00%
12/01/27
512,346
 
4,444,611
Washington — 2.1%
1,000,000
Chelan Cnty WA Sch Dist #228 Cascade Ref
5.00%
12/01/27
1,029,929
1,200,000
Energy N W WA Elec Rev Ref Proj 3, Ser A
5.00%
07/01/27
1,225,670
400,000
King Cnty WA Pub Hosp Dist #2 Evergreen Hlth
5.00%
12/01/27
411,495
750,000
Port of Seattle WA Rev Intermediate Lien, AMT
5.00%
04/01/27
760,063
1,000,000
Port of Seattle WA Rev, Ser A, AMT
5.00%
05/01/27
1,015,103
650,000
WA St Hlth Care Facs Auth Ref Commonspirit Hlth, Ser A
5.00%
09/01/26
650,958
 
5,093,218
West Virginia — 0.7%
1,650,000
WV St Hsg Dev Fund Mf Hsg Rev Var Highlawn Place (Mandatory
put 02/01/28)
2.88%
11/01/28
1,642,154
Wisconsin — 3.4%
500,000
Milwaukee WI Sewerage Rev Ref, Ser-S2
5.00%
06/01/27
508,273
750,000
Milwaukee WI Sewerage Rev Ref, Ser-S2
5.00%
06/01/28
776,648
1,520,000
PMA Levy & Aid Antic Nts Prog WI Nts Anticipation Notes
Prog, Ser B
5.00%
09/24/26
1,523,943
200,000
Pub Fin Auth WI Eductnl Fac Rev Ref Lindenwood Edu Sys
5.00%
06/01/27
201,965
750,000
Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj, Ser A
5.00%
06/01/27
762,471
1,615,000
Pub Fin Auth WI Sol Wst Disp Rev Ref Wst Mgmt Inc Proj,
Ser A-2, AMT
2.88%
05/01/27
1,608,206
1,000,000
Racine WI Prom Nts
4.50%
03/15/27
1,001,048
700,000
W Bend WI Jt Sch Dist #1 Prom Nts
4.00%
10/01/26
701,371
600,000
W Bend WI Jt Sch Dist #1 Prom Nts
4.00%
04/01/27
605,060
640,000
WI St Hsg & Econ Dev Auth Home Ownership Rev Sustainable
Bond, Ser D
2.70%
03/01/27
639,422
 
8,328,407
Total Investments — 99.8%
245,815,242
(Cost $246,016,393)
Net Other Assets and Liabilities — 0.2%
600,786
Net Assets — 100.0%
$246,416,028
 
(a)
Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.
(b)
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined
to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall
market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require
subjective judgment. At July 31, 2026, securities noted as such amounted to $5,753,181 or 2.3% of net assets.
(c)
When-issued security. The interest rate shown reflects the rate in effect at July 31, 2026. Interest will begin accruing on the
security’s first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial
Statements).
 
See Notes to Financial Statements
Page 29
First Trust Ultra Short Duration Municipal ETF (FUMB)
Portfolio of Investments (Continued)
July 31, 2026
Abbreviations throughout the Portfolio of Investments:
AG
–  Assured Guaranty, Inc.
AMT
–  Alternative Minimum Tax
BAM
–  Build America Mutual
BANS
–  Bond Anticipation Notes
COPS
–  Certificates of Participation
GARVEE
–  Grant Anticipation Revenue Vehicle
TANS
–  Tax Anticipation Notes
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of July 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
 
 
Total
Value at
7/31/2026
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Municipal Bonds*
$245,815,242
$—
$245,815,242
$—
 
*
See Portfolio of Investments for state and territory breakout.
See Notes to Financial Statements
Page 30
First Trust Exchange-Traded Fund III
Statements of Assets and Liabilities
July 31, 2026
 
 
First Trust
Short Duration
Managed
Municipal ETF
(FSMB)
First Trust
Ultra Short
Duration
Municipal ETF
(FUMB)
ASSETS:
Investments, at value
$616,493,281
$245,815,242
Cash
2,676,378
2,596,626
Interest receivable
6,005,029
2,750,338
Total Assets
625,174,688
251,162,206
 
LIABILITIES:
Payables:
Investment securities purchased
3,390,075
4,685,795
Investment advisory fees
179,642
60,383
Total Liabilities
3,569,717
4,746,178
NET ASSETS
$621,604,971
$246,416,028
 
NET ASSETS consist of:
Paid-in capital
$631,062,917
$246,618,694
Par value
313,000
123,000
Accumulated distributable earnings (loss)
(9,770,946
)
(325,666
)
NET ASSETS
$621,604,971
$246,416,028
NET ASSET VALUE, per share
$19.86
$20.03
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per
share)
31,300,002
12,300,002
Investments, at cost
$616,650,034
$246,016,393
See Notes to Financial Statements
Page 31
First Trust Exchange-Traded Fund III
Statements of Operations
For the Year Ended July 31, 2026
 
 
First Trust
Short Duration
Managed
Municipal ETF
(FSMB)
First Trust
Ultra Short
Duration
Municipal ETF
(FUMB)
INVESTMENT INCOME:
Interest
$19,608,925
$6,909,127
Total investment income
19,608,925
6,909,127
 
EXPENSES:
Investment advisory fees
2,372,615
 
847,903
 
Other expenses
34,400
15,216
Total expenses
2,407,015
863,119
Less fees waived by the investment advisor
(92,586
)
(31,797
)
Net expenses
2,314,429
831,322
NET INVESTMENT INCOME (LOSS)
17,294,496
6,077,805
 
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments
(186,161
)
(71,409
)
Futures contracts
(67,861
)
—
Net realized gain (loss)
(254,022
)
(71,409
)
Net change in unrealized appreciation (depreciation) on investments
(3,318,955
)
(596,904
)
NET REALIZED AND UNREALIZED GAIN (LOSS)
(3,572,977
)
(668,313
)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
$13,721,519
$5,409,492
See Notes to Financial Statements
Page 32
First Trust Exchange-Traded Fund III
Statements of Changes in Net Assets
 
 
First Trust Short Duration
Managed Municipal ETF (FSMB)
First Trust Ultra Short Duration
Municipal ETF (FUMB)
 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
Year
Ended
7/31/2026 
Year
Ended
7/31/2025 
OPERATIONS:
Net investment income (loss)
$17,294,496
$13,269,391
$6,077,805
$5,723,892
Net realized gain (loss)
(254,022
)
(896,898
)
(71,409
)
(9,790
)
Net change in unrealized appreciation (depreciation)
(3,318,955
)
2,800,478
(596,904
)
166,239
Net increase (decrease) in net assets resulting from
operations
13,721,519
15,172,971
5,409,492
5,880,341
 
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations
(17,216,701
)
(13,375,001
)
(6,358,051
)
(5,988,101
)
 
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold
161,546,269
 
96,500,213
 
74,358,557
 
42,194,575
 
Cost of shares redeemed
(9,003,296
) 
(44,906,013
) 
(42,161,844
) 
(26,134,573
) 
Net increase (decrease) in net assets resulting from
shareholder transactions
152,542,973
51,594,200
32,196,713
16,060,002
Total increase (decrease) in net assets
149,047,791
53,392,170
31,248,154
15,952,242
 
NET ASSETS:
Beginning of period
472,557,180
419,165,010
215,167,874
199,215,632
End of period
$621,604,971
$472,557,180
$246,416,028
$215,167,874
 
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period
23,700,002
21,100,002
10,700,002
9,900,002
Shares sold
8,050,000
4,850,000
3,700,000
2,100,000
Shares redeemed
(450,000
)
(2,250,000
)
(2,100,000
)
(1,300,000
)
Shares outstanding, end of period
31,300,002
23,700,002
12,300,002
10,700,002
See Notes to Financial Statements
Page 33
First Trust Exchange-Traded Fund III
Financial Highlights
For a share outstanding throughout each period
First Trust Short Duration Managed Municipal ETF (FSMB)
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$19.94
$19.87
$19.73
$20.06
$20.96
Income from investment operations:
Net investment income (loss)
0.64
 (a)
0.60
 (a)
0.54
 (a)
0.43
 (a)
0.21
 
Net realized and unrealized gain (loss)
(0.09
) 
0.08
 
0.13
 
(0.34
) 
(0.88
) 
Total from investment operations
0.55
 
0.68
 
0.67
 
0.09
 
(0.67
) 
Distributions paid to shareholders from:
Net investment income
(0.63
) 
(0.61
) 
(0.53
) 
(0.41
) 
(0.21
) 
Return of capital
—
 
—
 
—
 
(0.01
) 
(0.02
) 
Total distributions
(0.63
) 
(0.61
) 
(0.53
) 
(0.42
) 
(0.23
) 
Net asset value, end of period
$19.86
 
$19.94
 
$19.87
 
$19.73
 
$20.06
 
Total return (b)
2.78
% 
3.46
% 
3.46
% 
0.45
% 
(3.19
)% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$621,605
 
$472,557
 
$419,165
 
$426,132
 
$302,967
 
Ratio of total expenses to average net assets
0.44
% 
0.55
% 
0.55
% 
0.55
% 
0.55
% 
Ratio of net expenses to average net assets
0.43
% 
0.55
% 
0.55
% 
0.49
% 
0.35
% 
Ratio of net investment income (loss) to average net assets
3.18
% 
3.04
% 
2.76
% 
2.18
% 
1.14
% 
Portfolio turnover rate (c)
30
% 
45
% 
51
% 
50
% 
35
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during
certain periods if certain fees had not been waived by the investment advisor.
(c)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 34
First Trust Exchange-Traded Fund III
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Ultra Short Duration Municipal ETF (FUMB)
 
 
Year Ended July 31,
 
2026
2025
2024
2023
2022
Net asset value, beginning of period
$20.11
$20.12
$19.97
$19.99
$20.18
Income from investment operations:
Net investment income (loss)
0.53
 (a)
0.58
 (a)
0.56
 (a)
0.39
 (a)
0.10
 
Net realized and unrealized gain (loss)
(0.06
) 
0.02
 
0.10
 
(0.03
) 
(0.19
) 
Total from investment operations
0.47
 
0.60
 
0.66
 
0.36
 
(0.09
) 
Distributions paid to shareholders from:
Net investment income
(0.55
) 
(0.61
) 
(0.51
) 
(0.38
) 
(0.10
) 
Net asset value, end of period
$20.03
 
$20.11
 
$20.12
 
$19.97
 
$19.99
 
Total return (b)
2.37
% 
3.01
% 
3.37
% 
1.83
% 
(0.45
)% 
 
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)
$246,416
 
$215,168
 
$199,216
 
$269,545
 
$285,807
 
Ratio of total expenses to average net assets
0.37
% 
0.45
% 
0.45
% 
0.45
% 
0.45
% 
Ratio of net expenses to average net assets
0.36
% 
0.45
% 
0.45
% 
0.39
% 
0.25
% 
Ratio of net investment income (loss) to average net assets
2.63
% 
2.89
% 
2.79
% 
1.93
% 
0.56
% 
Portfolio turnover rate (c)
124
% 
113
% 
112
% 
121
% 
79
% 
 
(a)
Based on average shares outstanding.
(b)
Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during
certain periods if certain fees had not been waived by the investment advisor.
(c)
Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 35
Notes to Financial Statements
First Trust Exchange-Traded Fund III
July 31, 2026

1. Organization
First Trust Exchange-Traded Fund III (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
This report covers the two funds (each a “Fund” and collectively, the “Funds”) listed below, each a diversified series of the Trust and listed and traded on NYSE Arca, Inc.
 
First Trust Short Duration Managed Municipal ETF (ticker “FSMB”)
First Trust Ultra Short Duration Municipal ETF (ticker “FUMB”)
Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.”
Each Fund is an actively managed exchange-traded fund. The investment objective of each Fund is to seek to provide federally tax-exempt income consistent with capital preservation. Under normal market conditions, each Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes.
There can be no assurance that a Fund will achieve its investment objective. The Funds may not be appropriate for all investors.
2. Significant Accounting Policies
The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
Each Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund’s NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Each Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:
Municipal securities and other debt securities are fair valued on the basis of fair valuations provided by a third-party pricing service approved by the Advisor’s Pricing Committee, which may use the following valuation inputs when available:
 1)
benchmark yields;
 2)
reported trades;
 3)
broker/dealer quotes;
 4)
issuer spreads;
 5)
benchmark securities;
 6)
bids and offers; and
 7)
reference data including market research publications.
Page 36
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.
Exchange-traded futures contracts are valued at the end of the day settlement price.
Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor’s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:
 1)
the credit conditions in the relevant market and changes thereto;
 2)
the liquidity conditions in the relevant market and changes thereto;
 3)
the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
 4)
issuer-specific conditions (such as significant credit deterioration); and
 5)
any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
 1)
the most recent price provided by a pricing service;
 2)
available market prices for the fixed-income security;
 3)
the fundamental business data relating to the issuer;
 4)
an evaluation of the forces which influence the market in which these securities are purchased and sold;
 5)
the type, size and cost of the security;
 6)
the financial statements of the issuer;
 7)
the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis;
 8)
the information as to any transactions in or offers for the security;
 9)
the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;
10)
the coupon payments;
11)
the quality, value and salability of collateral, if any, securing the security; and
12)
other relevant factors.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
Page 37
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
•  Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•  Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o  Quoted prices for similar investments in active markets.
o  Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o  Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o  Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
•  Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of July 31, 2026, is included with each Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.
Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. Each Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At July 31, 2026, FSMB and FUMB held $2,721,522 and $3,221,159, respectively, of when-issued or delayed-delivery securities.
C. Futures Contracts
The Funds may purchase or sell (i.e., are long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Funds are not able to enter into an offsetting transaction, the Funds will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in “Net realized gain (loss) on futures contracts” on the Statements of Operations.
Upon entering into a futures contract, a Fund must deposit funds, called margin, with its custodian in the name of the clearing broker equal to a specified percentage of the current value of the contract. Open futures contracts are marked-to-market daily with the change in value recognized as a component of “Net change in unrealized appreciation (depreciation) on futures contracts” on the Statements of Operations. This daily fluctuation in the value of the contract is also known as variation margin and is included in “Variation margin” payable or receivable on the Statements of Assets and Liabilities.
If market conditions change unexpectedly, the Funds may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price of the futures contracts, interest rates and the underlying instruments. The Funds did not hold any futures contracts at July 31, 2026.
D. Dividends and Distributions to Shareholders
Dividends from net investment income of each Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Page 38
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2026 were as follows:
 
 
Distributions
paid from
Ordinary
Income
Distributions
paid from
Capital
Gains
Distributions
paid from
Tax-Exempt
Income
Distributions
paid from
Return of
Capital
First Trust Short Duration Managed Municipal ETF
$124,068
$—
$17,092,633
$—
First Trust Ultra Short Duration Municipal ETF
—
—
6,358,051
—
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2025 were as follows:
 
 
Distributions
paid from
Ordinary
Income
Distributions
paid from
Capital
Gains
Distributions
paid from
Tax-Exempt
Income
Distributions
paid from
Return of
Capital
First Trust Short Duration Managed Municipal ETF
$169,208
$—
$13,205,793
$—
First Trust Ultra Short Duration Municipal ETF
73,863
—
5,914,238
—
As of July 31, 2026, the components of distributable earnings on a tax basis for each Fund were as follows:
 
 
Undistributed
Ordinary
Income
Accumulated
Capital and
Other
Gain (Loss)
Net
Unrealized
Appreciation
(Depreciation)
First Trust Short Duration Managed Municipal ETF
$57,029
$(10,118,476
)
$290,501
First Trust Ultra Short Duration Municipal ETF
179,750
(306,027
)
(199,389
)
E. Income Taxes
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
In addition, each Fund intends to invest in municipal securities to allow it to pay shareholders “exempt dividends” as defined in the Code.
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2023, 2024, 2025, and 2026 remain open to federal and state audit. As of July 31, 2026, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2026, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund’s shareholders.
Page 39
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
 
 
Non-Expiring
Capital Loss
Carryforwards
First Trust Short Duration Managed Municipal ETF
$10,118,476
First Trust Ultra Short Duration Municipal ETF
306,027
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2026, the Funds had no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2026, the adjustments for each Fund were as follows:
 
 
Accumulated
Net Investment
Income (Loss)
Accumulated
Net Realized
Gain (Loss)
on Investments
Paid-In
Capital
First Trust Short Duration Managed Municipal ETF
$(9,148
)
$9,148
$—
First Trust Ultra Short Duration Municipal ETF
(860
)
863
(3
)
As of July 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:
 
 
Tax Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
(Depreciation)
Net Unrealized
Appreciation
(Depreciation)
First Trust Short Duration Managed Municipal ETF
$616,202,780
$3,024,478
$(2,733,977
)
$290,501
First Trust Ultra Short Duration Municipal ETF
246,014,631
69,759
(269,148
)
(199,389
)
F. Expenses
Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3).
G. Segment Reporting
An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of each Fund. Each Fund operates as a single operating segment. Each Fund’s income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of each Fund, using the information presented in the financial statements and financial highlights.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund’s portfolio, managing the Funds’ business affairs and providing certain administrative services necessary for the management of the Funds.
Page 40
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of each Fund’s assets and is responsible for the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit, and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, which are paid by each respective Fund. Effective February 1, 2026, the Board of Trustees approved a permanent contractual reduction of the annual unitary management fee to 0.34% and 0.29% of average daily net assets for FSMB and FUMB, respectively. In connection with the adoption of the reduced annual unitary management fee, the Board of Trustees also approved, effective February 1, 2026, the termination of the temporary fee waivers for the Funds that were put in place on January 1, 2026 (described below). Additionally, under each Fund’s new fee structure, the Funds are no longer eligible for any breakpoint discounts described in each Fund’s prospectus or statement of additional information.
Prior to February 1, 2026, the annual unitary management fee payable by the Funds to First Trust for these services was reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedule:
 
Breakpoints
FSMB
FUMB
Fund net assets up to and including $2.5 billion
0.55000
%
0.45000
%
Fund net assets greater than $2.5 billion up to and including $5 billion
0.53625
%
0.43875
%
Fund net assets greater than $5 billion up to and including $7.5 billion
0.52250
%
0.42750
%
Fund net assets greater than $7.5 billion up to and including $10 billion
0.50875
%
0.41625
%
Fund net assets greater than $10 billion
0.49500
%
0.40500
%
From January 1, 2026 to January 31, 2026, the Advisor waived management fees of 0.21% and 0.16% of average daily net assets for FSMB and FUMB, respectively. During any period in which such waivers were in effect, the Funds were not eligible for any breakpoint discounts. During the fiscal year ended July 31, 2026, the Advisor waived fees of $92,586 and $31,797 for FSMB and FUMB, respectively.
The Trust has multiple service agreements with The Bank of New York Mellon (“BNY”). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNY is responsible for custody of each Fund’s assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for each Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.
Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Purchases and Sales of Securities
For the fiscal year ended July 31, 2026, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
 
 
Purchases
Sales
First Trust Short Duration Managed Municipal ETF
$315,605,898
$159,819,989
First Trust Ultra Short Duration Municipal ETF
253,990,882
245,941,233
For the fiscal year ended July 31, 2026, the Funds had no in-kind transactions.
Page 41
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
5. Derivative Transactions
The following table presents the amount of net realized gain (loss) recognized for the fiscal year ended July 31, 2026, on FSMB’s derivative instruments, as well as the primary underlying risk exposure associated with the instruments.
 
 
Statements of Operations Location
FSMB  
Interest Rate Risk Exposure
Net realized gain (loss) on futures contracts
$(67,861
)
For FSMB, the average notional value of futures contracts outstanding during the fiscal year ended July 31, 2026, which is indicative of the volume of this derivative type, was $844,756.
The Funds do not have the right to offset financial assets and financial liabilities related to options contracts on the Statements of Assets and Liabilities.
6. Creations, Redemptions and Transaction Fees
Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with a Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in Creation Units. Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
7. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. (“FTP”), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
Page 42
Notes to Financial Statements (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.
8. Indemnification
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
9. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
Page 43
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded Fund III:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities ⁠of First Trust Short Duration Managed Municipal ETF and First Trust Ultra Short Duration Municipal ETF (the “Funds”), each a series of the First Trust Exchange-Traded Fund III, including the portfolios of investments, as of July 31, 2026, and the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements and financial highlights”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2026, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 23, 2026
We have served as the auditor of one or more First Trust investment companies since 2001.
Page 44
Other Information
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)

Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)
There were no changes in or disagreements with the Funds’ accountants during the fiscal year ended July 31, 2026.
Proxy Disclosures (Item 9 of Form N-CSR)
At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the “Trust”) that was held on August 12, 2025 (the “Special Meeting”), shareholders of record as of June 9, 2025 (the “Record Date”) approved a proposal (the “Proposal”) to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the “Board”). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a “fund”) voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.
 
James A. Bowen*
Votes For
Votes Withheld
448,229,817
1,692,488
Thomas J. Driscoll**
Votes For
Votes Withheld
448,104,659
1,817,646
Richard E. Erickson*
Votes For
Votes Withheld
447,812,453
2,109,852
Thomas R. Kadlec*
Votes For
Votes Withheld
446,751,895
3,170,410
Denise M. Keefe***
Votes For
Votes Withheld
448,425,408
1,496,897
Robert F. Keith*
Votes For
Votes Withheld
447,967,349
1,954,956
Niel B. Nielson*
Votes For
Votes Withheld
447,968,834
1,953,471
Bronwyn Wright***
Votes For
Votes Withheld
200,751,188
249,171,117
 
*
This nominee was re-elected to the Board at the Special Meeting.
**
This nominee was elected to the Board as a new Trustee at the Special Meeting.
***
This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.
Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)
Independent Trustees of each Fund are compensated through the unitary management fee paid by each Fund to the advisor and not directly by each Fund. The investment advisory fee paid is included in the Statements of Operations.
Statement Regarding the Basis for the Board’s Approval of Investment Advisory Contract (Item 11 of Form N-CSR)
The Board of Trustees of First Trust Exchange-Traded Fund III (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”) on behalf of each of the following series of the Trust (each a “Fund” and collectively, the “Funds”):
First Trust Short Duration Managed Municipal ETF (FSMB)
First Trust Ultra Short Duration Municipal ETF (FUMB)
Page 45
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2027 at a meeting held on June 7–8, 2026. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.
To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 13, 2026 and June 7–8, 2026, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 13, 2026, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 7–8, 2026 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund’s unitary fee.
In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. The Board noted that each Fund is an actively-managed ETF and noted that the Advisor’s Municipal Securities Team is responsible for the day-to-day management of the Funds’ investments. The Board considered the background and experience of the members of the Municipal Securities Team and noted the Board’s prior meetings with members of the Team. The Board considered the Advisor’s statement that it applies the same oversight model internally with its Municipal Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 13, 2026 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions.
The Board considered the unitary fee rate schedule payable by each Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions,
Page 46
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. The Board noted that, effective February 1, 2026, FSMB’s and FUMB’s unitary fee rate was reduced to an annual rate of 0.34% and 0.29% of its average daily net assets, respectively. Based on the information provided, the Board noted that the total (net) expense ratio for each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedules overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund’s performance. The Board also received and reviewed information comparing each Fund’s performance for periods ended December 31, 2025 to the performance of the funds in its Performance Universe and to that of a benchmark index.
On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure, including technology, and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Funds. The Board concluded that the unitary fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2025 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP the exposure of their products to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board’s analysis.
Federal Tax Information
For the taxable year ended July 31, 2026, the following distribution information is being provided as required by the Internal Revenue Code of 1986, as amended, or to meet a specific state’s requirement. The Funds designate the following percentages or, if subsequently determined to be different, the maximum amount allowable for their fiscal year ended July 31, 2026:
 
Page 47
Other Information (Continued)
First Trust Exchange-Traded Fund III
July 31, 2026 (Unaudited)
 
Tax Exempt
Interest
Dividends
Alternative
Minimum
Tax (AMT)
First Trust Short Duration Managed Municipal ETF
99.28
%
24.01
%
First Trust Ultra Short Duration Municipal ETF
100.00
%
19.76
%
Page 48
 
 

 

(b) The Financial Highlights is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

 

Item 9. Proxy Disclosures for Open-End Management Investment Companies.

 

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 13. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

 

Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 15. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 16. Controls and Procedures.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) Not applicable to the Registrant.

 

(b) Not applicable to the Registrant.

 

Item 18. Recovery of Erroneously Awarded Compensation.

 

(a) Not applicable to the Registrant.

 

(b) Not applicable to the Registrant.

 

Item 19. Exhibits.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

 

(a)(2) Not applicable to the Registrant.

 

(a)(3) The certifications required by Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

(a)(4) Not applicable to the Registrant.

 

(a)(5) Not applicable to the Registrant.

 

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(registrant)  

First Trust Exchange-Traded Fund III

By (Signature and Title)*   /s/ James M. Dykas
    James M. Dykas, President and Chief Executive Officer
(principal executive officer)
Date:   October 9, 2026  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*   /s/ James M. Dykas
    James M. Dykas, President and Chief Executive Officer
(principal executive officer)
Date:   October 9, 2026  
By (Signature and Title)*   /s/ Derek D. Maltbie
    Derek D. Maltbie, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer)
Date:   October 9, 2026  

* Print the name and title of each signing officer under his or her signature.

 

 


ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

CODE OF ETHICS

SECTION 302 CERTIFICATIONS

SECTION 906 CERTIFICATIONS

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